Alphas are of considerable interest to investors because they represent
excess returns obtainable from investing in a given stock over and above
what is predicted by the Capital Asset Pricing Model (CAPM). Modify the
code in Exercise 6 so that you obtain the least squares and robust alphas and
their standard errors. For what firms do the least squares and robust alphas
differ significantly? What do you conclude about the usefulness of robust
alphas?
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