Strategy X has a Fama-French alpha of -1% and has a factor loadings of 1, 2, and
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Question:
Strategy X has a Fama-French alpha of -1% and has a factor loadings of 1, 2, and 3 on the excess market return, SMB, and HML factors, respectively. Assume the factor risk premiums are each 5%. What is the stock's CAPM alpha? Assume the market risk premium is 5% and the stock's market beta is 1.
5%
24%
25%
26%
29%
-5%
-24%
-25%
-26%
-29%
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