I would like to understand the role of alpha (intercept) in the regression-based asset pricing model or $n$-factor models; one of the most famous of those one is the Fama-French 3-factor model.
About this kind of model particularly, what's the meaning of the intercept?
I know that, technically speaking, from an econometric point of view, it should be the value assumed by the dependent variable on average, given the independent variables of the model set to be equal to 0. But, how can you interpret that from an economic point of view?
Does it have to be necessarily significant and equal to zero in order that the model can model properly the asset prices?
I looked some answers for the internet, but I found only contradictory opinions. Thanks for helping.