Hello guys! Here is an eqution for farma french model:
Could anyone explain me please, the role of alpha here. What happens if it is positive, negativ or zero? What it should be? Does this alpha has any relationship to CAPM? In answers to one tasks they wrote : "Once we control for momentum, the positive alpha becomes negative. So it is just a consequence of a momentum strategy". How does momentum factor influence alpha?
I did not find good explanation on the web. I look forward to read your posts. Please help!
Thank you in advance
Could anyone explain me please, the role of alpha here. What happens if it is positive, negativ or zero? What it should be? Does this alpha has any relationship to CAPM? In answers to one tasks they wrote : "Once we control for momentum, the positive alpha becomes negative. So it is just a consequence of a momentum strategy". How does momentum factor influence alpha?
I did not find good explanation on the web. I look forward to read your posts. Please help!
Thank you in advance