Question: 1)What is the expected return of a small cap value stock which has an exposure to the size effect (2.25%) of 0.57 and an exposure
1)What is the expected return of a small cap value stock which has an exposure to the size effect (2.25%) of 0.57 and an exposure to the value factor (3.55%) of 0.75, when the risk free rate is 0.75% and the ERP is 8.25%?
2)What is the expected return of a large cap growth stock which has an exposure to the size effect (2.45%) of -0.29 and an exposure to the value factor (3.35%) of -0.22, when the risk free rate is 0.75% and the expected return of the market is 9.25%?
3)Reviewing your answers for questions 18 and 19, which stock has the highest price?
4)How much Carhartt's alpha did a portfolio manager generate when their portfolio returned 7.88%, the risk free rate was 0.55%, the ERP was 6.75%, the exposure to the size effect (2.15%) was 0.35 and the exposure to the value factor (3.55) was 0.25?
5)How much Carhartt's alpha did a portfolio manager generate when their portfolio returned 11.35%, the risk free rate was 1.65%, the return of the market was 8.25%, the exposure to the size effect (2.15%) was 0.45 and the exposure to the value factor (3.55) was 0.85?
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