Problem 12-2 Factor Models Suppose a three-factor model is appropriate to describe the returns of a stock. Information about those three factors is presented in the following chart: Factor GDP .0008261 Expected Value $ 14,191 Actual Value $ 14,174 Inflation Interest rates -.87 -.44 3.4% 3.6% 6.6% 6.4% a. What is the systematic risk of the stock return? (A negative answer should be indicated by a negative sign. Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b. Suppose unexpected bad news about the firm was announced that causes the stock price to drop by 1.5 percent. If the expected return on the stock is 13.6 percent, what is the total return on this stock? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Answer is complete but not entirely correct. a. Systematic risk of the stock return b. Total return of the stock 0.25% 13.60 %