Question

Using the factor beta estimates in the table shown here and the monthly expected return estimates in Table 13.1, calculate the risk premium of General Electric stock (ticker: GE) using the FFC factor specification. (Annualize your result by multiplying by 12.) GE’s CAPM beta over the same time period was 1.33. How does the risk premium you would estimate from the CAPMcompare?


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  • CreatedAugust 06, 2014
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