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Interpretation of SMB factor loading

This is not necessarily true in general; it only means that the portfolio varies with the SMB factor. The average size of a portfolio and the HML beta do not align perfectly (although they are ...
alejandroll10's user avatar
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Interpretation of SMB factor loading

Well this is actually a very simple question. Suppose of run a Fama-French 3-factor model regression on a portfolio $i$: $$ r_{i,t} - r_f = \alpha_i + \beta_{i,mkt} (r_{mkt} - r_f) + \beta_{i,HML}...
phdstudent's user avatar
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Analyzing portfolio returns using Fama-French Factors

It is very important to understand your end goal. FF regressions are used to understand return of portfolio which can be attributed to FF style factors. In this analysis I am assuming that you are ...
vaibhav's user avatar
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Fama-French Long-Short portfolios. Is short really necessary?

The standard methodology for a single "variable" (such as price-to-book) is this: 1. Sort the stocks in the cross-section at a specific point in time by that variable. 2. Compare the ...
Enrico Schumann's user avatar

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