Question
A financial analyst has modeled the company's stock using a Fama-French three-factor model. The risk free rate is 5%; the market return is 10%; the
A financial analyst has modeled the company's stock using a Fama-French three-factor model. The risk free rate is 5%; the market return is 10%; the profitability of the SME portfolio (rSMB) is 3.8%; and the return on the HML (rHML) portfolio is 4.7%. If ai = 0, bi = 1.2, ci = -0.4, and di = 1.3, what is the expected return on the stock?
Round your answer to two decimal places.
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Financial management theory and practice
Authors: Eugene F. Brigham and Michael C. Ehrhardt
13th edition
1439078106, 111197375X, 9781439078105, 9781111973759, 978-1439078099
