Question
Asset Return Diversified portfolio of small firms 10.3% Diversified portfolio of large firms 9.8% Diversified portfolio of high BTM firms 9.4% Diversified portfolio of low
| Asset | Return |
| Diversified portfolio of small firms | 10.3% |
| Diversified portfolio of large firms | 9.8% |
| Diversified portfolio of high BTM firms | 9.4% |
| Diversified portfolio of low BTM firms | 8.9% |
| S&P 500 index fund | 9.9% |
| Riskless debt | 2.2% |
3A. What is the value of the Fama-French market factor?
3B. What is the value of the Fama-French SMB factor?
3C. What is the value of the Fama-French HML factor?
3D. Using this information, what would you estimate the cost of equity to be for a firm with a market beta of 2.5, a SMB beta of 0.4, and an HML beta of -0.2?
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Secured Finance Transactions
Authors: Dominic RM Griffiths
2nd Edition
1787425142, 978-1787425149
