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Assume the three factor model of Fama-French (1993) holds. The risk premium of the market factor is 0.43%. The risk premium of the SMB factor

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Assume the three factor model of Fama-French (1993) holds. The risk premium of the market factor is 0.43%. The risk premium of the SMB factor is 0.27%. The risk premium of the HML factor is 0.40%. An asset has an exposure of 0.9 to the market factor, and an exposure of 1.2 to SMB. The required risk premium of the asset equals the risk premium of HML. What is the exposure of the asset to HML, if it fairly-priced? 0.84 1.00 1.16 2.10 -0.78

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