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Consider the Fama-French-Carhart model. The table below provides the expected returns for each of the four factors, as well as the beta of Stock A
Consider the Fama-French-Carhart model. The table below provides the expected returns for each of the four factors, as well as the beta of Stock A with each of the factors. The risk-free rate of interest is 1.7%. Estimate the expected return of Stock A. Factor Expected Return Beta for A Mkt 9.7% 0.68 SMB 7.6% 0.22 HML 5.2% -0.40 PR1YR 6.3% 1.16 13.27% 14.81% 14.04% 16.36% 15.58% Consider the Fama-French-Carhart model. The table below provides the expected returns for each of the four factors, as well as the beta of Stock A with each of the factors. The risk-free rate of interest is 1.7%. Estimate the expected return of Stock A. Factor Expected Return Beta for A Mkt 9.7% 0.68 SMB 7.6% 0.22 HML 5.2% -0.40 PR1YR 6.3% 1.16 13.27% 14.81% 14.04% 16.36% 15.58%
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