Question
Calculate the required return for stock i using the Fama-French 3 factor model given the following information. Inputs: bi=0.9; rRF=6.8%; market risk premium = 6.3%;
Calculate the required return for stock i using the Fama-French 3 factor model given the following information. Inputs: bi=0.9; rRF=6.8%; market risk premium = 6.3%; ci=-0.5; expected value for the size factor is 4%; di=-0.3; expected value for the book-to-market factor is 5%.
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Introduction To Mathematical Finance Discrete Time Models
Authors: Stanley R. Pliska
1st Edition
1557869456, 9781557869456
