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You have estimated the Fama-French 3-factor model for a stock: Regression Model Outputs for Stock Returns The risk-free rate in the economy is 1%. A.
You have estimated the Fama-French 3-factor model for a stock:
Regression Model Outputs for Stock Returns The risk-free rate in the economy is 1%. A. (1 point) Determine whether the stock is a cyclical, defensive, or hedging stock against the market risk. Why? B. (1 point) Determine whether the stock is moving like a small-cap stock or a large-cap stock. Why? C. (1 point) Determine whether the stock is moving like a value stock or a growth stock. Why? D. (1 point) Determine whether the stock outperforms or underperforms its 3factor benchmark. Why? Is the number supporting your inference statistically significant at the 10%,5%, or 1% threshold? E. (1 point) Currently, the market risk premium is 6%,SMB is 2%, and HML is 3%. What is the expected return on the stock according to the Fama-French 3-factor model? Note: You must show your calculation steps briefly and clearly. Regression Model Outputs for Stock Returns The risk-free rate in the economy is 1%. A. (1 point) Determine whether the stock is a cyclical, defensive, or hedging stock against the market risk. Why? B. (1 point) Determine whether the stock is moving like a small-cap stock or a large-cap stock. Why? C. (1 point) Determine whether the stock is moving like a value stock or a growth stock. Why? D. (1 point) Determine whether the stock outperforms or underperforms its 3factor benchmark. Why? Is the number supporting your inference statistically significant at the 10%,5%, or 1% threshold? E. (1 point) Currently, the market risk premium is 6%,SMB is 2%, and HML is 3%. What is the expected return on the stock according to the Fama-French 3-factor model? Note: You must show your calculation steps briefly and clearlyStep by Step Solution
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