(11). (NOTE: Deadline for submission is 25th May 2021 at 12:00 Mid-Night). Table A: Company a...

 

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(11). (NOTE: Deadline for submission is 25th May 2021 at 12:00 Mid-Night). Table A: Company a b с d e f → bo h j k Table B: Company a b 20 с d 14 e g h j k Number of shares outstanding 500 1500 100 200 600 150 900 800 700 1200 Market Price Per Share in July 2020 5 12 12 18 Market Price Per Share in June of year 2020 4 10 8 15 30 24 18 60 6 40 20 16 9 50 4 32 Book Value Per Share in June of year 2020 2 4 2 3 12 2 9 5 1.5 10 **Assume that each portfolio is an equally-weighted portfolio and the risk-free rate is equal to 0.1. Answer the following questions. 5- What is the return to the BL portfolio? 6- What is the return to SM portfolio? 7- What is the return to the market portfolio? 8- What is the return to the market factor? 9- What is the return to the size factor? 10- What is the return to the value factor? 11-If bMKT = 0.5, bSMB=0.4, bHML = 0.8, the residual e; = 0.01, then, what is the value of a for stock (d)? (11). (NOTE: Deadline for submission is 25th May 2021 at 12:00 Mid-Night). Table A: Company a b с d e f → bo h j k Table B: Company a b 20 с d 14 e g h j k Number of shares outstanding 500 1500 100 200 600 150 900 800 700 1200 Market Price Per Share in July 2020 5 12 12 18 Market Price Per Share in June of year 2020 4 10 8 15 30 24 18 60 6 40 20 16 9 50 4 32 Book Value Per Share in June of year 2020 2 4 2 3 12 2 9 5 1.5 10 **Assume that each portfolio is an equally-weighted portfolio and the risk-free rate is equal to 0.1. Answer the following questions. 5- What is the return to the BL portfolio? 6- What is the return to SM portfolio? 7- What is the return to the market portfolio? 8- What is the return to the market factor? 9- What is the return to the size factor? 10- What is the return to the value factor? 11-If bMKT = 0.5, bSMB=0.4, bHML = 0.8, the residual e; = 0.01, then, what is the value of a for stock (d)?

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1 The return to the BL portfolio is 4 2 The return to the SM por... View the full answer