Question
Suppose the market follows a Fama-French Three-factor model (FF3), where the market has expected return of 6%, E(r_hml) is 2%, and E(r_smb) is 3%. Suppose
Suppose the market follows a Fama-French Three-factor model (FF3), where the market has expected return of 6%, E(r_hml) is 2%, and E(r_smb) is 3%. Suppose a stock has market beta of 1.5, HML beta of 2, and SMB beta of 2.5. Given the risk-free rate is 3%, what is the expected return of this stock? Please show Excel formula for computations.
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A Fast And Frugal Finance
Authors: William P. Forbes, Aloysius Igboekwu, Shabnam Mousavi
1st Edition
0128124954, 978-0128124956
