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The following table shows the sensitivity of four stocks to the three FamaFrench factors. Assume the interest rate is 4%, the expected risk premium on
The following table shows the sensitivity of four stocks to the three FamaFrench factors. Assume the interest rate is 4%, the expected risk premium on the market is 7%, the expected risk premium on the size factor is 3.9%, and the expected risk premium on the book-to-market factor is 5.5%.
Ford | Walmart | Citigroup | Apple | |
Market | 1.27 | 0.60 | 1.08 | 1.28 |
Size | 0.10 | 0.44 | 0.02 | 0.64 |
Book-to-market | 0.79 | 0.22 | 0.88 | 0.69 |
Calculate the expected return on each stock. (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.)
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