An analyst has modeled the stock of a company using a Fama- French three-factor model and has
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An analyst has modeled the stock of a company using a Fama-
French three-factor model and has estimated that ai = 0, bi = 0.7, ci = 1.2, and di = 0.7. Suppose that the daily risk-free rate is approximately equal to zero, the market return is 11%, the return on the SMB portfolio is 3.2%, and the return on the HML portfolio is 4.8% on a particular day. The stock had an actual return of 16.9%
on that day. What is the stock’s predicted return for that day?
(14.9%) What is the stock’s unexplained return for the day?
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Related Book For
Intermediate Financial Management
ISBN: 9781337395083
13th Edition
Authors: Eugene F. Brigham, Phillip R. Daves
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