Question
Assume the following data for a stock: Risk-free rate = 5%; Beta (market) = 1.4; Beta (size) = 0.4; Beta (book-to-market) = -1.1; Market risk
Assume the following data for a stock: Risk-free rate = 5%; Beta (market) = 1.4; Beta (size) = 0.4; Beta (book-to-market) = -1.1; Market risk premium = 7%; Size risk premium = 3.7%; and book-to-market risk premium = 5.2%. Calculate the expected return on the stock using the Fama-French three-factor model.
a.22.3%
b.7.8%
c.10.6%
d.20.9%
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An Introduction to Investment Banks, Hedge Funds, and Private Equity
Authors: David P. Stowell
1st edition
978-0123745033, 0123745039, 978-9380931074
