I am writing a mid-term thesis on the Fama-French factor model.
I have built 5 portfolios sorted by the Book-to-Market ratio. The first portfolio is the lowest-BM group and the last portfolio is the highest-BM group. The interception and the coefficients are all insignificant for the first two portfolios (low-BM). The beta_HML is significant for the last three portfolios(high-BM). I also set a group which is the difference between the last and the first portfolio, the coefficients are all insignificant.
How can I interpret such a result?
Does the model fail to explain excess returns of the first two groups?
Does the result mean that the 3-factor model couldn't explain the returns difference between the last group and the first group?