Problem 12-4 Multifactor Models Suppose stock returns can be explained by the following three-factor model: R=RF+...
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Problem 12-4 Multifactor Models Suppose stock returns can be explained by the following three-factor model: R=RF+ B1F1+ B2F2-B3F3 Assume there is no firm-specific risk. The information for each stock is presented here: 2 3 Stock A 1.55 .75 .30 es Stock B .85 Stock C .79 1.55 -.50 -.26 1.35 The risk premiums for the factors are 6.7 percent, 5.9 percent, and 6.3 percent, respectively. You create a portfolio with 20 percent invested in Stock A, 20 percent invested in Stock B, and the remainder in Stock C. The risk-free rate is 3.8 percent. What is the beta for each factor for the return on your portfolio? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Factor F Factor F2 Factor F3 Problem 12-4 Multifactor Models Suppose stock returns can be explained by the following three-factor model: R=RF+ B1F1+ B2F2-B3F3 Assume there is no firm-specific risk. The information for each stock is presented here: 2 3 Stock A 1.55 .75 .30 es Stock B .85 Stock C .79 1.55 -.50 -.26 1.35 The risk premiums for the factors are 6.7 percent, 5.9 percent, and 6.3 percent, respectively. You create a portfolio with 20 percent invested in Stock A, 20 percent invested in Stock B, and the remainder in Stock C. The risk-free rate is 3.8 percent. What is the beta for each factor for the return on your portfolio? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Factor F Factor F2 Factor F3
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