Question
Suppose that assets are priced by the Fama-French Three-Factor model. The risk-free rate is 3%. The market premium is 13%. There are two well-diversified portfolios,
Suppose that assets are priced by the Fama-French Three-Factor model. The risk-free rate is 3%. The market premium is 13%. There are two well-diversified portfolios, A and B, have the following attributes:
| Portfolio | Beta on market | Beta on SMB | Beta on HML | Expected Return |
| A | 1.2 | 0.5 | 0.2 | 22.2% |
| B | 0.8 | -0.2 | 0.8 | 19% |
What are the SMB and HML premium?
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Options Trading For Beginners How To Generate Predictable Income And Make A Living Without Taking Big Risks Even If You Re A Complete Beginner
Authors: Greg Middleton
1st Edition
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