Question
The following table shows the sensitivity of four stocks to the three FamaFrench factors. Assume that the interest rate is 2%, the expected risk premium
| The following table shows the sensitivity of four stocks to the three FamaFrench factors. Assume that the interest rate is 2%, the expected risk premium on the market is 7%, the expected risk premium on the size factor is 3.7%, and the expected risk premium on the book-to-market factor is 4.9%. |
| Boeing | Johnson & Johnson | Dow Chemical | ||
| Market | 1.21 | 0.60 | 1.71 | 1.46 |
| Size | 0.81 | 0.18 | 0.31 | 0.44 |
| Book-to-market | 0.47 | 0.10 | 1.70 | 1.25 |
| Calculate the expected return on each stock. (Do not round intermediate calculations. Round your answers to 2 decimal places.) |
| Expected Return | |
| Boeing | % |
| Johnson & Johnson | % |
| Dow Chemical | % |
| % | |
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Digital Business And Electronic Commerce
Authors: Bernd W Wirtz
1st Edition
3030634817, 9783030634810
