Question
Factor Models Suppose a factor model is appropriate to describe the returns on a stock. The current expected return on the stock is 10.5 percent.
Factor Models Suppose a factor model is appropriate to describe the returns on a stock. The current expected return on the stock is 10.5 percent. Information about those factors is presented in the following:
Factor | B | Expected Value | Actual Value |
Growth in GNP | 1.67 | 2.1% | 2.6% |
Inflation | -1.09 | 4.3 | 4.8 |
a. What is the systematic risk of the stock return?
b. The firm announced that its market share had unexpectedly increased from 11 percent to 15 percent. Investors know from past experience that the stock return will increase by .58 percent for every 1 percent increase in its market share. What is the unsystematic risk of the stock?
c. What is the total return on this stock?
**can you please show excel formulas/details on work
Step by Step Solution
There are 3 Steps involved in it
Step: 1
![blur-text-image](https://dsd5zvtm8ll6.cloudfront.net/includes/images/document_product_info/blur-text-image.webp)
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
![blur-text-image](https://dsd5zvtm8ll6.cloudfront.net/includes/images/document_product_info/blur-subtext-image.webp)
Step: 3
![blur-text-image](https://dsd5zvtm8ll6.cloudfront.net/includes/images/document_product_info/blur-subtext-image.webp)
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started