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Problem 8-21 Three-factor model The following table shows the sensitivity of four stocks to the three Fama-French factor
Posted: Wed Apr 06, 2022 9:09 am
by answerhappygod
- Problem 8 21 Three Factor Model The Following Table Shows The Sensitivity Of Four Stocks To The Three Fama French Factor 1 (119.68 KiB) Viewed 42 times
Problem 8-21 Three-factor model The following table shows the sensitivity of four stocks to the three Fama-French factors. Assume the interest rate is 2%, the expected risk premium on the market is 5%, the expected risk premium on the size factor is 2.9%, and the expected risk premium on the book- to-market factor is 4.7%. Market Size Book-to-market Ford 1.34 -0.17 0.86 Walmart 0.74 -0.46 -0.37 Citigroup 1.15 -0.42 0.95 Apple 1.35 -0.57 -0.62 Calculate the expected return on each stock. (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) Ford Expected return % % Walmart % Citigroup Apple %