Question
A stock has the following exposure to the three factors. 0.25 to market factor, 1.25 to size factor, and -0.75 to book-to-market factor. It is
A stock has the following exposure to the three factors.
0.25 to market factor,
1.25 to size factor, and
-0.75 to book-to-market factor.
It is forecasted that expected market return will be 12.5%, size factor will be 3.5% and B/M factor will be 0.0%, a risk-free rate is 1.5%.
Step by Step Solution
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The FamaFrench threefactor model is an asset pricing model that expands on t...
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Corporate Finance
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
10th edition
978-0077511388, 78034779, 9780077511340, 77511387, 9780078034770, 77511344, 978-0077861759
