Question
What is the alpha of each stock? factor premium MKT-RF SMB HML UMD 0.65% 0.21% 0.39% 0.67% standard deviation of factor return 5.37% 3.21% 3.50%
What is the alpha of each stock?
factor premium MKT-RF SMB HML UMD 0.65% 0.21% 0.39% 0.67% standard deviation of factor return 5.37% 3.21% 3.50% 4.74% Consider the stocks detailed in the below table. The expected returns are your own estimates based on the research you have done. Risk-free Stock A Stock B Stock C Stock D Stock E Stock F expected return 0.28% 1.50% 1.20% 1.40% 0.85% 1.70% 0.50% standard deviation of return 0% 7.80% 5.00% 7.20% 4.25% 9.55% 6.12% loading on MKT-RF 0 1.10 0.65 1.35 0.90 1.00 1.60 loading on SMB 0 -0.50 0.30 0.65 -0.20 0.00 0.45 loading on HML 0 0.85 0.40 -0.60 -0.25 0.52 -0.10 loading on UMD 0 -0.22 0.10 0.45 -0.08 0.31 -0.48
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Principles of Finance
Authors: Scott Besley, Eugene F. Brigham
6th edition
9781305178045, 1285429648, 1305178041, 978-1285429649
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