Question
You model the stock returns using the Fama-French 3-factor model. The expected return for the market is 11%, the risk-free rate is 2%, the expected
You model the stock returns using the Fama-French 3-factor model.
The expected return for the market is 11%, the risk-free rate is 2%, the expected return on the Small-Minus-Big (SMB) portfolio is 1.5%, and the expected return on the High-Minus-Low (HML) portfolio is 1.4%.
Canopy Growth Corporation (CGC) as a beta with respect to the market of 1.05, a beta with respect the SMB portfolio of -0.16, and a beta with respect to the HML portfolio of 0.19.
According the the Fama-French model, what is the expected return of CGC?
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Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus, Lorne Switzer, Maureen Stapleton, Dana Boyko, Christine Panasian
9th Canadian Edition
1259271935, 9781259271939
