2. Suppose ABC has an expected return of 10%. You estimate the loadings of ABC on...

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2. Suppose ABC has an expected return of 10%. You estimate the loadings of ABC on the Fama-French-Carhart four factors to be TM-T SMB HML UMD Loading Premium 0.8 8% -0.5 4% 0.2 0.1 5% 7% The T-bill rate is 2%. What is ABC's CAPM alpha, Fama-French 3-factor alpha, and Fama-French-Carhart 4-factor alpha? 2. Suppose ABC has an expected return of 10%. You estimate the loadings of ABC on the Fama-French-Carhart four factors to be TM-T SMB HML UMD Loading Premium 0.8 8% -0.5 4% 0.2 0.1 5% 7% The T-bill rate is 2%. What is ABC's CAPM alpha, Fama-French 3-factor alpha, and Fama-French-Carhart 4-factor alpha?

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CAPM Alpha The CAPM alpha is the expected return of an investment minus the required return based on ... View the full answer