Question
Suppose stock returns are explained by the Fama-French-Carhart four-factor model. The following table shows the information for four diversified portfolios: rM - rF SMB HML
Suppose stock returns are explained by the Fama-French-Carhart four-factor model. The following table shows the information for four diversified portfolios:
| rM - rF | SMB | HML | WML | Expected return | |
|---|---|---|---|---|---|
| A | 1.03 | -0.28 | -0.75 | 0.07 | 9.67% |
| B | 0.97 | -0.16 | -1.37 | 0.58 | 11.46% |
| C | 0.83 | -0.03 | -0.7 | -0.3 | 10.76% |
| D | 1.3 | -0.32 | 0.05 | -0.02 | 20.70% |
What is the risk premium for the SMB factor in this model, if the risk-free rate equals 5 %?
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The Emerald Handbook On Cryptoassets Investment Opportunities And Challenges
Authors: H. Kent Baker, Hugo Benedetti, Ehsan Nikbakht, Sean Stein Smith
1st Edition
1804553212, 978-1804553213
