Estimate CAPM and 3-Factor Model for Fund 1

CAPM Regression - Fund 1 Alpha and Beta

Questions 1-8 are related. 1) Estimate a CAPM regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018. What is Fund 1's alpha in the CAPM? Round your answer to the nearest one hundredth (e.g., 5.34 or -0.03). Also, when writing your answer, just write the number and do NOT add a "%" behind it (e.g., just write 2.38 and NOT 2.38%). 2) Estimate a CAPM regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018 . What is Fund 1's beta in the CAPM? Round your answer to the nearest one hundredth (e.g., 5.34 or -0.03). 3) Estimate a CAPM regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018. What is the R-squared of the CAPM regression for Fund 1? Report your answer in decimal form to the nearest one hundredth (e.g., write 0.78 and NOT 78 and NOT 78%). 4) Estimate a 3-Factor Model regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018. What is Fund 1's alpha in the 3-Factor Model? Round your answer to the nearest one hundredth (e.g., 5.34 or -0.03). Also, when writing your answer, just write the number and do NOT add a "%" behind it (e.g., just write 2.38 and NOT 2.38%). 5) Estimate a 3-Factor Model regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018. What is the beta on the market factor for Fund 1 in the 3-Factor Model? Round your answer to the nearest one hundredth (e.g., 5.34 or -0.03). 6) Estimate a 3-Factor Model regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018. What is the beta on the size factor in the 3-Factor Model? Round your answer to the nearest one hundredth (e.g., 5.34 or -0.03). 7) Estimate a 3-Factor Model regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018. What is the beta on the value factor in the 3-Factor Model? Round your answer to the nearest one hundredth (e.g., 5.34 or -0.03). 8) Estimate a 3-Factor Model regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018. What is the R-squared of the 3-Factor Model regression for Fund 1? Report your answer in decimal form to the nearest one hundredth (e.g., write 0.78 and NOT 78 and NOT 78%). 6) Estimate a 3-Factor Model regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018. What is the beta on the market factor for Fund 1 in the 3-Factor Model? Round your answer to the nearest one hundredth (e.g., 5.34 or -0.03). 7) Estimate a 3-Factor Model regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018. What is the beta on the size factor in the 3-Factor Model? Round your answer to the nearest one hundredth (e.g., 5.34 or -0.03). 8)