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PopeDCM


Total Posts: 1
Joined: Jul 2022
 
Posted: 2022-07-03 01:49
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, P-value)

Intercept (0.029496875, 0.007268696, 4.0580699, 5.04318E-05)
Mkt-RF (0.010856933, 0.006324383, 1.716678708, 0.086115876)
SMB (-0.000931807, 0.01214072, -0.076750581, 0.938825832)
HML (0.053998041, 0.010400967, 5.191636561, 2.18892E-07)
RMW(0.070729689, 0.017630545, 4.011769954, 6.13748E-05)
CMA (0.03845225, 0.023765793, 1.617966213, 0.1057493)

The P-value 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 :(
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