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 variable bias.

(b) Compare the performances of the two funds and the exposure of the portfolios to
different risk factors by comparing relevant coefficients (such as the intercept and
slopes) of the models through appropriate tests.

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