Question: Using the factor beta estimates in Table 1 shown here, EEB, and the expected return estimates in Table 2 shown here, EEB, calculate the risk

Using the factor beta estimates in Table 1 shown here, EEB, and the expected return estimates in Table 2 shown here, EEB, calculate the risk premium of General Electric stock (ticker: GE) using the FFC factor specification. (Annualize your result by multiplying by 12.) GE's CAPM beta over the same time period was 1.48. How does the risk premium compare with the risk premium you would estimate from the CAPM? The monthly nsk premium of General Electric stock is %. (Round to three decimal places.) Factor MKT SMB HML PR1YR MSFT 1.06 - 0.45 -0.12 -0.06 XOM 0.78 - 0.62 0.21 0.32 GE 1.27 4 -0.43 0.78 Table 2: FFC Portfolio Average Monthly Returns, 1927-2015 Factor Portfolio MKT - rf SMB HML PR1YR Average Monthly Return (%) 0.65 0.26 0.39 0.66 95% Confidence Band (%) +0.33 +0.19 +0.21 t0.29 Using the factor beta estimates in Table 1 shown here, EEB, and the expected return estimates in Table 2 shown here, EEB, calculate the risk premium of General Electric stock (ticker: GE) using the FFC factor specification. (Annualize your result by multiplying by 12.) GE's CAPM beta over the same time period was 1.48. How does the risk premium compare with the risk premium you would estimate from the CAPM? The monthly nsk premium of General Electric stock is %. (Round to three decimal places.) Factor MKT SMB HML PR1YR MSFT 1.06 - 0.45 -0.12 -0.06 XOM 0.78 - 0.62 0.21 0.32 GE 1.27 4 -0.43 0.78 Table 2: FFC Portfolio Average Monthly Returns, 1927-2015 Factor Portfolio MKT - rf SMB HML PR1YR Average Monthly Return (%) 0.65 0.26 0.39 0.66 95% Confidence Band (%) +0.33 +0.19 +0.21 t0.29

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Using the factor beta estimates in Table 1 shown here, EEB, and the expected retun estimates in Table 2 shown here, EEB, calculate the risk premium of General Electric stock (ticker GE) using the FFC...

Using the factor beta estimates in Table 1 shown here, EEB, and the expected return estimates in Table 2 shown here, calculate the risk premium of General Electric stock (ticker: GE) using the FFC...

Using the factor beta estimates in the table shown here, , and the monthly expected return estimates in Table 13.1, , calculate the risk premium of General Electric stock (ticker: GE) using the FFC...

There are 4 Questions in this problem. Please show work Click on the following icon in order to copy its contents into a spreadsheet.) Data table (Click on the following icon b1 in order to copy its...

Using the factor beta estimates in the table shown here,_, and the monthly expected return estimates in Table 13.1, , calculate the risk premium of General Electric stock (ticker: GE) using the FFC...

Using the factor beta estimates in the table shown here and the monthly expected return estimates in Table 13.1, calculate the risk premium of General Electric stock (ticker: GE) using the FFC factor...

This year Dumbledore is worth $122,941. He now wants to allocate his wealth between the Vanguard S&P 500 ETF (VOO) and a risk-free bond. Suppose he has a mean-variance utility which is defined as...

In each of the following independent cases, indicate the amount (1) deductible for AGI, (2) deductible from AGI, and (3) neither deductible for nor from AGI before considering income limitations or...

Production for Lemona Beverages, Inc., shows a pronounced seasonal fluctuation. Should factory overhead variances be shown as adjustments to the cost of goods sold on the company's monthly income...

3. Consider that a vehicle goes through many states and state transitions from the perspective of Metropolitan. For example, a new vehicle might be brought in for the first time. A previously...

| As I seek to serve them, do 1 let them know who I am and what my interests are?

Create hy being extemfllly open: How can I [aim find change?

Colldhorte by heing otherfiemeci: Vhat cain I de to help others sdtsfi their legifimfite needs, felings, find maints?