Assume a risk-free rate of 4.5%, A MT= 7.5%, A GLOBAL 1 = -0.3% and 2...

Transcribed Image Text:

Assume a risk-free rate of 4.5%, A MT= 7.5%, A GLOBAL 1 = -0.3% and 2 GLOBAL 2 = 0.6%. Stock A B с MT 1.24 0.91 1.03 Factor Loading GLOBAL I -0.42 0.54 -0.09 GLOBAL 2 0.00 0.23 0.00 a. Determine the expected returns for the three stocks using only the MT risk factor and the expected returns using all three risk factors. Assume a risk-free rate of 4.5%, A MT= 7.5%, A GLOBAL 1 = -0.3% and 2 GLOBAL 2 = 0.6%. Stock A B с MT 1.24 0.91 1.03 Factor Loading GLOBAL I -0.42 0.54 -0.09 GLOBAL 2 0.00 0.23 0.00 a. Determine the expected returns for the three stocks using only the MT risk factor and the expected returns using all three risk factors.