A stock has the following exposure to the three factors. 0.25 to market factor, 1.25 to size

Fantastic news! We've Found the answer you've been seeking!

Question:

A stock has the following exposure to the three factors.

0.25 to market factor,

1.25 to size factor, and

-0.75 to book-to-market factor.

It is forecasted that expected market return will be 12.5%, size factor will be 3.5% and B/M factor will be 0.0%, a risk-free rate is 1.5%.

What is the expected return of this stock according to Fama-French model?

Related Book For answer-question

Corporate Finance

ISBN: 978-0077861759

10th edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe

See More Books

Posted Date: Dec 13, 2023 03:29 AM

See More Questions

Managing Scope Changes Case Study Scope changes on a project can occur regardless of how well the project is planned or executed. Scope changes can be the result of something that was omitted during...
KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...
You wanted to open a library, so you have bought N books and K racks (having N/K slots). All these books are currently just lying on the floor. Fortunately, you have the titles, ISBNs, and barcodes...
Create the Control Panel interface that has the following 3 methods: public int warningLevel (); public String status (); public boolean isok (); Write 2 public static methods 1) Write a public...
How does urbanization with its concrete and asphalt surfaces affect runoff?
Which of the following describes a marginal change? a. One that is NOT important for public policy b. One that incrementally alters an existing plan c. One that makes an outcome inefficient d. One...
Find the current through and the potential difference across each resistor in Figure P23.25. FIGURE P23.25 10 V 5.02 ww ww 15.0 ww $5.00 ww $5.00
Classification of casts, service sector Consumer Focus is a marketing research firm that organizes focus groups for consumer-product companies. Each focus group has eight individuals who are paid $50...
The two temperature scales used in the United States are Celsius and Fahrenheit. Themathematical relationship between the two scales is:Write two functions, fToC and cToF, which convert temperatures...
A small bank is trying to determine how many tellers to employ. The total cost of employing a teller is $100 per day, and a teller can serve an average of 60 customers per day. On average, 50...
In Louisiana, the price of beef recently increased due to the popularity of the Keto diet. Leather is a byproduct of raising cattle and producing beef for sale. Show the effect of this event by...
Find, if any, the relative maxima and relative minima of the function. f(x) = x - 9x Relative maxima: Relative minima: and Preview Preview
Greenleaf has been quoted as saying the true test of the Servant Leader comes when those who are being led themselves become Servant Leaders. How can this be accomplished in organizations? What are...
Let T(x, y, z) = 100 + x + y represent the temperature at each point on the sphere x + y + z = 50. Use Lagrange multipliers to find the maximum temperature on the curve formed by the intersection of...
What arguments can be used to support law or policy allowing withholding of treatment or assisted suicide? On what grounds might one object to policies allowing withholding of life-sustaining...
The implementation of the postal service in the late 1800s acted as a trade liberalization in American regions or cities since individuals can communicate and send goods to each other using this...
What type of market in terms of maturity is it most appropriate to use Economic Price Optimization? Why? Using Profit Sensitivity Analysis, what result will indicate that a certain price change...
Wimot Trucking Corporation uses the units-of-production depreciation method because units-of-production best measures wear and tear on the trucks. Consider these facts about one Mack truck in the...
There is a European put option on a stock that expires in two months. The stock price is $73, and the standard deviation of the stock returns is 70 percent. The option has a strike price of $80, and...
Your aunt is in a high tax bracket and would like to minimize the tax burden of her investment portfolio. She is willing to buy and sell to maximize her aftertax returns, and she has asked for your...
Miller Corporation has a premium bond making semiannual payments. The bond pays a coupon of 8 percent, has a YTM of 6 percent, and has 13 years to maturity. The Modigliani Company has a discount bond...
An investment bank offers a derivative whose payoff at maturity T is given by S 2 T , where ST is the price of the underlying asset, a non-dividendpaying stock share with a price following a GBM....
Using the FeynmanKac representation theorem, solve the PDE for an unknown function V (x, t) with terminal condition 1 +ax- It + bx 202V = 0,
Let us consider an activity, whose level is measured by a continuous decision variable . A concrete example would be the amount of an asset that we purchase. The cost of the activity may include both...

A stock has the following exposure to the three factors. 0.25 to market factor, 1.25 to size

Question:

Expert Answer:

The FamaFrench threefactor model is an asset pricing model that expands on t... View the full answer

Corporate Finance

Students also viewed these finance questions