An analyst is estimating the required return on equity for a company and has gathered the...
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An analyst is estimating the required return on equity for a company and has gathered the following information: Estimated risk-free rate (10-year government bond) Estimated equity market return Estimated ERP beta Estimated SMB premium Estimated HML premium Fama-French three-factor regression estimation: 6% 10% 0.8 5% 2% Intercept Coefficient on market factor Coefficient on SMB factor Coefficient on HML factor The Fama-French three-factor model coefficients were estimated using the same risk-free rate that is used in the CAPM. What is the required rate of return based on the Fama-French model? 0.01 0.75 0.15 0.05 An analyst is estimating the required return on equity for a company and has gathered the following information: Estimated risk-free rate (10-year government bond) Estimated equity market return Estimated ERP beta Estimated SMB premium Estimated HML premium Fama-French three-factor regression estimation: 6% 10% 0.8 5% 2% Intercept Coefficient on market factor Coefficient on SMB factor Coefficient on HML factor The Fama-French three-factor model coefficients were estimated using the same risk-free rate that is used in the CAPM. What is the required rate of return based on the Fama-French model? 0.01 0.75 0.15 0.05
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Related Book For
Equity Asset Valuation
ISBN: 978-0470571439
2nd Edition
Authors: Jerald E. Pinto, Elaine Henry, Thomas R. Robinson, John D. Stowe, Abby Cohen
Posted Date:
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