Present a histogram of returns of high momentum

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Reference no: EM131297261

1. Present a histogram of returns of high momentum, market, SMB and HML portfolios.

2. Calculate time series of excess returns needed to test CAPM and Fama-French 3 factor model.

3. Test CAPM and Fama-French 3 factor models using linear regression.

4. Comment on regression intercepts and coefficients.

5. Evaluate performance of CAPM and Fama-French 3 factor model.

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Reference no: EM131297261

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