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Estimate FF 3-Factor Model Coefficients
Assume that the annual returns and risk premiums are given below.
| | Portfolio | Rfree | Mkt-RF | SMB | HML |
| 2001 | 13.48 | | 4.88 | | -14.58 | | 20.47 | | 19.27 | |
| 2002 | -18.96 | | 3.43 | | -23.97 | | 5.55 | | 11.63 | |
| 2003 | 57.71 | | 2.43 | | 33.84 | | 21.43 | | 14.26 | |
| 2004 | 22.03 | | 1.33 | | 10.11 | | 5.08 | | 14.68 | |
| 2005 | 11.78 | | 4.41 | | 8.57 | | -1.64 | | 6.34 | |
| 2006 | 21.62 | | 3.25 | | 13.22 | | 2.19 | | 16.17 | |
| 2007 | -10.86 | | 4.39 | | 1.19 | | -9.48 | | -15.14 | |
| 2008 | -38.29 | | 2.67 | | -37.99 | | 2.32 | | 4.56 | |
| 2009 | 32.83 | | 0.61 | | 26.37 | | 11.61 | | -13.41 | |
| 2010 | 31.93 | | 0.13 | | 13.86 | | 16.28 | | -5.32 | |
| 2011 | -10.01 | | 0.25 | | 2.21 | | -6.62 | | -5.14 | |
| 2012 | 21.27 | | 0.05 | | 10.78 | | -4.16 | | 13.49 | |
| 2013 | 51.95 | | 0.20 | | 38.62 | | 9.05 | | 6.77 | |
| 2014 | 7.60 | | 0.44 | | 16.59 | | -8.15 | | -1.70 | |
| 2015 | -6.92 | | 0.11 | | 2.68 | | -4.30 | | -10.34 | |
| 2016 | 22.98 | | 0.45 | | 11.66 | | 14.12 | | 16.94 | |
| 2017 | 18.33 | | 0.39 | | 18.17 | | -7.79 | | -9.28 | |
| 2018 | -14.55 | | 3.61 | | -9.04 | | -5.97 | | -11.24 | |
| 2019 | 29.35 | | 3.19 | | 30.27 | | -8.30 | | -8.56 | |
| 2020 | 15.30 | | 0.39 | | 25.64 | | 5.37 | | -46.67 | |
Estimate the FamaFrench 3-Factor model alpha and factor betas. Round your answers to four decimal places.
: fill in the blank 1
: fill in the blank 2
: fill in the blank 3
: fill in the blank 4
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