Question
You strongly believe in a new two-factor asset pricing model, where the two factors are the return on an asset growth factor and the return
You strongly believe in a new two-factor asset pricing model, where the two factors are the return on an asset growth factor and the return on a profitability factor. If at the start of the month you expected a stock to earn 15.94 percent, and the stock had loadings 0.02 on the liquidity factor and 0.36 on the volatility factor, and during the month the liquidity factor earned a return 5.84 below its expected value and the volatility factor realised a return 1.51 above its expected value, then what do you expect the stock's return (in percent) to be during that month?
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