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The following table shows the sensitivity of four stocks to the three Fama?French factors. Assume that the interest rate is 3%, the expected risk premium
The following table shows the sensitivity of four stocks to the three Fama?French factors. Assume that the interest rate is 3%, the expected risk premium on the market is 6%, the expected risk premium on the size factor is 3.2%, and the expected risk premium on the book-to-market factor is 5.1%. |
Boeing | Johnson & Johnson | Dow Chemical | ||
Market | 1.26 | 0.68 | 1.12 | 1.53 |
Size | ?0.83 | ?0.11 | 0.38 | ?0.37 |
Book-to-market | 0.54 | ?0.14 | 1.77 | ?1.18 |
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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