final - Excel Search File Home Insert Draw Page Layout Formulas Data Review View Help FactSet X cut Calibri General In Copy 22 - AA = 2 Wrap Text A. Merge & Center BIU Format Painter $ % Clipboard Font Alignment Numbe A1 fx Question 18 H B D E F G 1 Question 18 2 3 The following are five IT stocks' statistical profiles--the risk-free rate is 1.1%. 4 5 201511-202010 FB AAPL AMZN NFLX GOOGL 6 Excess return (%) 21.7 31.2 34.8 35.5 17.0 7 Standard dev (%) 27.9 30.4 28.6 37.6 21.4 8 Sharpe ratio 0.78 1.03 1.22 0.94 0.79 9 Alpha (%) 2.7 7.0 8.9 13.4 3.3 10 Market beta 1.30 1.48 1.44 1.11 1.04 11 Size (SMB) beta -0.19 -0.45 -0.32 0.06 -0.29 12 B/M (HML) beta -0.36 -0.68 -0.90 -0.90 -0.14 13 14 According to the statistics, which of the following statements regarding the five stocks is true? 15 16 A NFLX has the highest systematic risk 17 B AAPL has the highest firm-specific risk 18 C AMZN has the steepest capital allocation line slope 19 D FB is mostly underpriced stock in terms of this factor model 20 21 Hint: Chapters 7 and 9. Assignment 2 Question 10 22 23 24 25 26 27 28 final 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25