I have different large datasets consisting of 1000 stocks each. I want run a FF3 regression
I regress my monthly returns (minus riskfree rate) of the dataset against the Mkt-RF, SMB and HML factor.
But as alpha I always receive a value which is close to zero (0.001)
For Beta1 (MKT-RF) I receive 1.08 Beta2 (SMB) 0.268 Beta3 (HML) -0.069
Adjusted R^2 is 0.985
Can that be correct and if yes, how can i interpret this? I am very insecure because I always receive an alpha of 0
Thanks for your help