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Jaguar

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Submitted By bakhshyan
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Regression result for the difference between the small-value portfolio and the large-growth portfolio is depicted under CAPM Regression (3). Observe the R2 of the model is 0.005938. In finance, the R2 measures how well the CAPM predicts the actual performance of a portfolio. It is evident the CAPM model does a very poor job explaining the return difference between the two portfolios.

Furthermore, by definition, if the CAPM has 100% predictive value, the regression intercept (Jensen’s alpha) should be zero. However, our regression output shows an intercept coefficient of 0.6762852 that is significant at the 99% level.

As a result, the CAPM does not explain the return difference between the small-value portfolio and the large0growth portfolio.

Regression result for the difference between the small-value portfolio and the large-growth portfolio is depicted under CAPM Regression (3). Observe the R2 of the model is 0.005938. In finance, the R2 measures how well the CAPM predicts the actual performance of a portfolio. It is evident the CAPM model does a very poor job explaining the return difference between the two portfolios.

Furthermore, by definition, if the CAPM has 100% predictive value, the regression intercept (Jensen’s alpha) should be zero. However, our regression output shows an intercept coefficient of 0.6762852 that is significant at the 99% level.

As a result, the CAPM does not explain the return difference between the small-value portfolio and the large0growth portfolio.

Regression result for the difference between the small-value portfolio and the large-growth portfolio is depicted under CAPM Regression (3). Observe the R2 of the model is 0.005938. In finance, the R2 measures how well the CAPM predicts the actual performance of a portfolio. It is evident the CAPM model does a very poor job explaining the return difference between the two portfolios.

Furthermore, by definition, if the CAPM has 100% predictive value, the regression intercept (Jensen’s alpha) should be zero. However, our regression output shows an intercept coefficient of 0.6762852 that is significant at the 99% level.

As a result, the CAPM does not explain the return difference between the small-value portfolio and the large0growth portfolio.

Regression result for the difference between the small-value portfolio and the large-growth portfolio is depicted under CAPM Regression (3). Observe the R2 of the model is 0.005938. In finance, the R2 measures how well the CAPM predicts the actual performance of a portfolio. It is evident the CAPM model does a very poor job explaining the return difference between the two portfolios.

Furthermore, by definition, if the CAPM has 100% predictive value, the regression intercept (Jensen’s alpha) should be zero. However, our regression output shows an intercept coefficient of 0.6762852 that is significant at the 99% level.

As a result, the CAPM does not explain the return difference between the small-value portfolio and the large0growth portfolio.
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