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An investment firm, FINC3330, uses the Fama-French three factor model. The risk-free rate equals 3% Factors Factor Exposures Factor Risk Premiums Market 1.2 0.05 Size
An investment firm, FINC3330, uses the Fama-French three factor model. The risk-free rate equals 3% Factors Factor Exposures Factor Risk Premiums Market 1.2 0.05 Size (SMB) 0.39 0.015 Value (HML) 0.8 0.08 The expected excess return for its portfolio from the above result would be % and the expected return on the portfolio would be % (Note: round to the nearest hundredth.)
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