This preview has intentionally blurred sections. Sign up to view the full version.View Full Document
Unformatted text preview: in absolute value, the null hypothesis of the FF model is rejected. The FF model does not hold for the losers. b) Test if the Fama-French model holds for the winners. What is the conclusion of your test? Regression Statistics R Square 0.767 Observations 564.000 Coefficients Standard Error t Stat alpha 0.007 0.001 5.16 7 beta 1.033 0.031 33.5 91 h-0.293 0.046-6.34 1 s 0.359 0.043 8.44 1 The FF model predicts that alpha should be zero. Since the t-stat of alpha is greater than 2 in absolute value, the null hypothesis of the FF model is rejected. The FF model does not hold for the losers....
View Full Document
- Spring '09
- Management, Null hypothesis, 6 months, six months, Purdue University, Purdue University Krannert School of Management MGMT