Help with determining whether Four Factor Model Alpha is stat sig.

For investors outside the US. Personal investments, personal finance, investing news and theory.
Sister forums: Canada, Spain (en español)
---------------
Post Reply
User avatar
Topic Author
Anon9001
Posts: 1884
Joined: Fri Dec 20, 2019 8:28 am
Location: بھارت

Help with determining whether Four Factor Model Alpha is stat sig.

Post by Anon9001 »

Monthly Returns Regression is having Alpha at stat sig (p-value less than 1%) but Daily Returns is not having Alpha at stat sig (p-value greater than 1%). The R2 for the Monthly Returns Regression is 84% and for Daily Returns 50%. I have used Newey West Estimator to correct for Autocorrelation and Heteroskedasticity in both regressions. The number of observations for Daily Returns is 1928 and for Monthly Returns is 94. Which one do I trust the Daily Returns Regression or the Monthly Returns Regression? Here is link to download Excel sheets containing these Regressions if interested.

Code: Select all

SUMMARY OUTPUT					
					
Regression Statistics					
Multiple R	0.918998992				
R Square	0.844559147				
Adjusted R Square	83.8%				
Standard Error	0.016734114				
Observations	94				
					
ANOVA					
	df	SS	MS	F	Significance F
Regression	4	0.13541299	0.033853248	120.8912625	4.08362E-35
Residual	89	0.02492272	0.000280031		
Total	93	0.16033571			
					
	Coefficients	Standard Error	t Stat	P-value	
Intercept	0.49%	0.00156481	3.114167288	0.25%	
SMB	0.078908101	0.048220136	1.636413884	10.53%	
HML	-0.083405428	0.039201937	-2.127584361	3.61%	
WML	-0.132884557	0.030054328	-4.4214783	0.00%	
70% India 30% USA Minus RF	0.892777286	0.07200324	12.39912652	0.00%	

Code: Select all

SUMMARY OUTPUT					
					
Regression Statistics					
Multiple R	0.704712899				
R Square	0.49662027				
Adjusted R Square	50%				
Standard Error	0.005459587				
Observations	1928				
					
ANOVA					
	df	SS	MS	F	Significance F
Regression	4	0.056549346	0.014137336	474.2944151	1.1288E-284
Residual	1923	0.057319035	2.98071E-05		
Total	1927	0.113868381			
					
	Coefficients	Standard Error	t Stat	P-value	
Intercept	0.02%	0.000102977	2.371487639	1.78%	
SMB 	0.124288777	0.02670111	4.654816873	0.00%	
HML 	0.052914661	0.018226336	2.903197921	0.37%	
WML 	-0.003336562	0.019884054	-0.167800906	86.68%	
70% India 30% USA Minus RF	0.634035625	0.037499927	16.90764944	0.00%	
Land/Real Estate:89.4% (Land/RE is Inheritance which will be recieved in 10-20 years) Equities:7.6% Fixed Income:1.7% Gold:0.8% Cryptocurrency:0.5%
Post Reply