Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

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:image text in transcribed

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 clearly

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

The Wall Street Journal Complete Personal Finance Guidebook

Authors: Jeff D. Opdyke

1st Edition

030733600X, 978-0274804573

More Books

Students also viewed these Finance questions

Question

Explain the process of MBO

Answered: 1 week ago