EOC Problems $8-4$

Question $3$ of $15$

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Problem $4-$ FF $3-$Factor Model Return

The realized Fama$-$French $3-$Factor model factors are $R_m-R_{\text{f}\text{r}\text{e}\text{e}}=-4\mathrm{.}72,SMB=0\mathrm{.}73,$ and $HML=5\mathrm{.}03.$ Suppose that risk$-$free rate for the month is $0$ and the alpha is $0.$

$\backslash$table$[[R_m-$ Rfree,$-4\mathrm{.}72],[SMB,0\mathrm{.}73],[$HML$,5\mathrm{.}03],[$Alpha$,0],[$R$-$free,$0]]$

A$)$ If beta $=1\mathrm{.}1,b_{smb}=0\mathrm{.}5,$ and $b_{hml}=-0\mathrm{.}3,$ what should the return be$?$

The return should be $\%.$ Round your answer to the nearest three decimal places. Include a negative sign if the expected return is negative.

B$)$ If beta $=0\mathrm{.}8,b_{smb}=1\mathrm{.}5,$ and $bhm{l}_{hm}=0\mathrm{.}4,$ what should the return be$?$

The return should be

$\%.$ Round your answer to the nearest three decimal places. Include a negative sign if the expected return is negative.

C$)$ If beta $=1\mathrm{.}2,b_{smb}=-0\mathrm{.}4,$ and $bhml=0\mathrm{.}8,$ what should the return be$?$

The return should be

$\%.$ Round your answer to the nearest three decimal places. Include a negative sign if the expected return is negative.