Assume that you ran a time-series regression with your project on the Fama-French factors and found the
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Assume that you ran a time-series regression with your project on the Fama-French factors and found the following:
E(Λri) β rF
= (12%) + (0.3) . XMKT + (0.3)
. UMD + (β0.5) . HML + (β0.5) . SMB If the risk-free rate is 4%, what would the Fama-French-Momentum model suggest you use as the hurdle rate for this project?
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