You are given the following data. 

Return on Small firms 13.2%  

Return on Large firms 10.9%  

Return on High Book/Mkt firms 14.2% 

Return on Low Book/Mkt firms 12%  

Return on thinly-traded stocks 14.5%  

Return on heavily-traded stocks 12.9%  

Expected return on the market is 9% and the risk-free rate is 4% 

Betas: Market 1.5; 

SMB 0.25; 

HML -1.50; 

Liquidity 0.20

1. What is return from the CAPM model?

2. What is return from the Pastor-Stambaugh model?

3. What is return from the Fama-French Model?

Answer rating: 100% (QA)

1 Return from the CAPM Model The return from the Capital Asset Pricing Model CAPM can be calculated ... View the full answer