Compare the performances of the two funds and the exposure of the portfolios to different risk factors by comparing relevant coefficients of the models through appropriate tests.
Question: Estimate an appropriate CAPM model describing the return of the mutual funds as a function of some or all factors above: CRSP index, 1-month T-Bill, ExRm, SMB, HML, MoM and TradedLIQ. Carry out and report the necessary statistical tests to justify the choice of your specification. Discuss any found issues with respect to omitted […]