Tuesday, January 12, 2016

regression - How exactly do I calculate and interpret factors in Fama-French model?


Could anyone explain me how to interpret factors and what kind of regressions I should run?


I have already calculated the factor returns as well as 6 Fama-French portfolio returns, the only problem is I do not know how to properly combine all the information and reach useful results.


Do I run regressions on SMB and HML to find whether those factors explain market movements by looking at R squared and then run regressions on 6 portfolios to see how significant the portfolio returns are?




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