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You are using the Fama-French three factor model to evaluate a potential investment. You estimate that the asset has a market beta of 0.1, a
You are using the Fama-French three factor model to evaluate a potential investment. You estimate that the asset has a market beta of 0.1, a size beta of -1.4, and a value beta of -0.1. You also estimate that the risk free rate is 1.9%, the market risk premium is 3.4%, the expected return of the small-minus-big portfolio is 1.2%, and the expected return of the high-minus-low portfolio is 2.4%. What is the expected return of the asset?
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