16. The Fama-French three-factor model Consider the following two statements and identify which model each describes: This model maintains that the only risk rewarded in the market with additional return is systematic or nondiversifiable risk. This model has been used more by academic researchers than managers of actual companies. O Fama-French three-factor model O Capital Asset Pricing Model Capital Asset Pricing Model Fama-French three-factor model Jill, an analyst at Kitsch General (KG), models the stock of the company. Suppose that the risk-free rate rri = 6.5%, the required market return r = 12.5%, the risk premium for small stocks PSMB = 3.2%, and the risk premium for value stocks nhML = 4.8%. Suppose also that Jill ran the regression for Kitsch General's stock and estimated the following regression coefficients: akg = 0.00, bKG = 0.9, CKG = 0.2, and dkg = 0.3. If Jill uses a Fama-French three-factor model, then which of the following values correctly reflects the stock's required return? 17.94% 7.48% O 13.98% 03.18%