Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM … and Fama-French factor models. This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to …

deviation, and maximum drawdown) are employed, offering a nuanced understanding of the investment landscape. Moreover, single-factor … models highlight significant systematic market risk, reflected in notably high beta coefficients, negative alphas, and active …