Question
Suppose the market follows a Fama-French Three-factor model (FF3), where the market has expected return of 0.07, E(r_hml) is 0.08, and E(r_smb) is 0.11. Suppose
Suppose the market follows a Fama-French Three-factor model (FF3), where the market has expected return of 0.07, E(r_hml) is 0.08, and E(r_smb) is 0.11. Suppose a stock has market beta of 1.2, HML beta of 1, and SMB beta of 1.8. Given this stock has expected return of 0.356, what is the risk-free rate?
| 0.03 | ||
| 0.005 | ||
| -0.09 | ||
| 0.015 | ||
| -0.006 |
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Investments An Introduction
Authors: Herbert B. Mayo
13th Edition
0357127951, 978-0357127957
