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    A regression analysis was conducted on returns data from February 2023 to January 2024 using the Fama-French 5 factor model. The analysis found that the market risk premium (MKT_RF) and size (HML) factors had a statistically significant impact on returns, while the other factors of SMB, RMW, and CMA did not. The model explained approximately 22% of the variation in the returns data.

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    A regression analysis was conducted on returns data from February 2023 to January 2024 using the Fama-French 5 factor model. The analysis found that the market risk premium (MKT_RF) and size (HML) factors had a statistically significant impact on returns, while the other factors of SMB, RMW, and CMA did not. The model explained approximately 22% of the variation in the returns data.

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    Dbs 2

    Uploaded by

    wongweiwen77
    A regression analysis was conducted on returns data from February 2023 to January 2024 using the Fama-French 5 factor model. The analysis found that the market risk premium (MKT_RF) and size (HML) factors had a statistically significant impact on returns, while the other factors of SMB, RMW, and CMA did not. The model explained approximately 22% of the variation in the returns data.

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    of 1

    Dependent Variable: RETURNS

    Method: Least Squares


    Date: 03/22/24 Time: 16:21
    Sample (adjusted): 2/02/2023 1/30/2024
    Included observations: 250 after adjustments

    Variable Coefficient Std. Error t-Statistic Prob.

    MKT_RF 0.004546 0.001080 4.209689 0.0000


    SMB -0.002687 0.001930 -1.392288 0.1651
    HML 0.005780 0.001679 3.443174 0.0007
    RMW -8.96E-05 0.001316 -0.068065 0.9458
    CMA 0.001301 0.001637 0.794570 0.4276
    RF -0.007027 0.025330 -0.277426 0.7817

    R-squared 0.220510 Mean dependent var -0.000209


    Adjusted R-squared 0.204537 S.D. dependent var 0.008702
    S.E. of regression 0.007761 Akaike info criterion -6.855751
    Sum squared resid 0.014696 Schwarz criterion -6.771236
    Log likelihood 862.9689 Hannan-Quinn criter. -6.821736
    Durbin-Watson stat 2.019261

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