Assume that expected factor returns are those given below: Expected Annualized Return 0.43% 9.72% 1.32% 4.44%...
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Assume that expected factor returns are those given below: Expected Annualized Return 0.43% 9.72% 1.32% 4.44% rf rm -rf SMB HML Consider an asset, k, with the following 3-factor loadings: Sensitivity (i.e., Loading) Bk Sk 1.19 -0.21 Hk -0.15 (i) Calculated the expected returns according to the Fama-French 3-factor model (1 point) (ii) Do you have enough information to calculate asset k's expected return with the CAPM? If so, calculate it, and show your work. If not, explain why not. Assume that expected factor returns are those given below: Expected Annualized Return 0.43% 9.72% 1.32% 4.44% rf rm -rf SMB HML Consider an asset, k, with the following 3-factor loadings: Sensitivity (i.e., Loading) Bk Sk 1.19 -0.21 Hk -0.15 (i) Calculated the expected returns according to the Fama-French 3-factor model (1 point) (ii) Do you have enough information to calculate asset k's expected return with the CAPM? If so, calculate it, and show your work. If not, explain why not.
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Related Book For
Understanding Basic Statistics
ISBN: 9781111827021
6th Edition
Authors: Charles Henry Brase, Corrinne Pellillo Brase
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