PopeDCM


Total Posts: 1 
Joined: Jul 2022 


I was playing around with some models in search of a "new premium" and one of the long/short portfolios gave this for the regression:
Factor (Coefficients, Standard Error, t Stat, Pvalue)
Intercept (0.029496875, 0.007268696, 4.0580699, 5.04318E05) MktRF (0.010856933, 0.006324383, 1.716678708, 0.086115876) SMB (0.000931807, 0.01214072, 0.076750581, 0.938825832) HML (0.053998041, 0.010400967, 5.191636561, 2.18892E07) RMW(0.070729689, 0.017630545, 4.011769954, 6.13748E05) CMA (0.03845225, 0.023765793, 1.617966213, 0.1057493)
The Pvalue for the intercept is great, which leads me to believe I'm onto something, but the HML and RMW factors are also statistically significant and have a much larger coefficient than the intercept. Based on these coefficients would you say I have indeed found a "new premium" or would such a claim require a much higher intercept coefficient?
Also any other thoughts on the regression results would be appreciated.... sorry about poor formatting :( 


