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The following table shows the sensitivity of four stocks to the three Fama-French factors. Assuming that the interest rate...

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The following table shows the sensitivity of four stocks to the three Fama-French factors. Assuming that the interest rate is 3%, the expected risk premium on the market is 6%, the expected risk premium on the size factor is 3.1%, and the expected risk premium on the book-to-market factor is 4.9%. Market Size Book-to-market Ford Ford Walmart Citigroup Apple 1.32 -0.15 0.84 Walmart 0.70 Expected return % % % % -0.48 -0.28 Citigroup 1.13 -0.07 0.93 Calculate the expected return on each stock. (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) Apple 1.33 -0.59 -0.64

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To calculate the expected return on each stock using the Fama French factors you can use the followi View the full answer


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Principles of Corporate Finance

Principles of Corporate Finance

ISBN: 978-0078034763

11th edition

Authors: Richard Brealey, Stewart Myers, Franklin Allen

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Posted Date: September 07, 2023 06:54:05
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