Question: Consider a three-factor APT model in which each factor portfolio has an expected return of 8%. If the expected excess return for a stock with

Consider a three-factor APT model in which each factor portfolio has an expected return of 8%. If the expected excess return for a stock with factor betas of 1.4, 0.5, and 0.6 is 5.85%, determine the annual effective risk-free rate.

0.028

0.032

0.035

0.057

0.152

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

can you please explain hot to do it ( corporate finance) weighted of A = 0.5 and weighted averege of B= 0.5 Consider a three-factor APT model with self-financing factors. The table below provides the...

Problem 8-17 APT Consider a three-factor APT model. The factors and associated risk premiums are: Tactor Change in gross national product (GNP) Change in energy prices Change in long-term interest...

Problem 8-17 APT Consider a three-factor APT model. The factors and associated risk premiums are: Factor Change in gross national product (GNP) Change in energy prices Change in long-term interest...

this is the question Consider a three-factor APT model with self-financing factors. The table below provides the following information for each of the factors: the expected return, the volatility,...

can I get just answers plz? Problem 8-17 APT Consider a three-factor APT model. The factors and associated risk premiums are: Factor Change in gross national product (GNP) Change in energy prices...

Consider a three - factor APT model. The factors and associated risk premiums are: Factor Risk Premium ( % ) Change in gross national product ( GNP ) + 5 Change in energy prices 1 Change in long -...

4 Consider a three-factor APT model. The factors and associated risk premiums are: Risk Premium (8) +6.5 0.5 +2.9 Factor Change in gross national product (GNP) Change in energy prices Change in...

Consider a three-factor APT model. The factors and associated risk premiums are: Factor Change in gross national product (GNP) Change in energy prices Change in long-term interest rates Risk Premium...

Write a paper about Saudi Marco, retention recovery plan for Saudis drilling foremen which should include the following: An introduction that clearly states the question that you are trying to...

Andrews Corp. ended the year carrying $ 6 6 , 6 0 2 , 0 0 0 worth of inventory. Had they sold their entire inventory at their current prices, how much more revenue would it have brought to Andrews...

Add "Viggo Mortenslet cast = new Map ( ) ;en " to the cast as the key, with value "Aragorn".