Question
You have collected information about 3 companies risk-factor loadings as well as their historically realized average return, all of which is presented in the table
You have collected information about 3 companies risk-factor loadings as well as their historically realized average return, all of which is presented in the table below:
| Company | Factor 1 | Factor 2 | Factor 3 | Historical return |
|---|---|---|---|---|
| CAB | 1 | 2 | 3 | 12% |
| AYZ | 1 | 0 | 1 | 4% |
| MON | 0 | 2 | 1 | 8% |
You also know the risk-free to 1%.
What is the premium of the 2nd risk factor assuming that these stocks are fairly priced?
[Please give your answer in percent to the second decimal. Thus if your response is 1.256% please write 1.26]
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Shareholder Empowerment A New Era In Corporate Governance
Authors: Maria Goranova, Lori Verstegen Ryan
1st Edition
1137376449,1137373938
