Fama-French Model

[Liza]

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

 

[Deleted member 4993]

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

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[stapel]

Hello guys! Here is an eqution for farma french model:

Is the "farma french model" referenced above the same as the "Fama-French three-factor model" outlined here?

\(\displaystyle r_{it}\, -\, r_{ft}\, =\, \alpha_i\, +\, \beta_{im}\, (r_{mt}\, -\, r_{ft})\, +\, \beta_{is}SMB_t\, +\, \beta_{ih}HML_t\)

What are the definitions of each of the variables in the above?

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?

Does "CAPM" stand for "capital asset pricing model"?

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?

What was the "task"? Who is the "they" who "wrote" the quoted comment?

Thank you!