Question: 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

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

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 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 risk premium of General Electric stock is % Round to three decimal places. the top-right Click on the icon located o contents into a comer of the data table below in order to copy its Table 1: Estimated Factor Betas, 2005-2015 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 - 0.43 0.78 (Click on the icon located on the top-right corner of the data table below in order to copy its contents into a spreadsheet.) 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 (%) t0.33 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, 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 risk premium of General Electric stock is % Round to three decimal places. the top-right Click on the icon located o contents into a comer of the data table below in order to copy its Table 1: Estimated Factor Betas, 2005-2015 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 - 0.43 0.78 (Click on the icon located on the top-right corner of the data table below in order to copy its contents into a spreadsheet.) 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 (%) t0.33 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!

Q:

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...

Q:

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

Q:

Please see attached question. Using the factor beta estimates in Table 1 shown here and the expected return estimates in Table 2 shown here. Calculate the risk premium of General Electric stock...

Q:

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...

Q:

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

Q:

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

Q:

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

Q:

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

Q:

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...

Q:

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

Q:

You have been selected as a member of the team to audit Appleton Electronics and have been assigned to audit the accounts payable account for Appleton Electronics, a wholesaler of hardware equipment....

Q:

What are the major differences between the official poverty measure and the newer supplemental measure (SPM)? Provide a rationale for each of the changes made.

Q:

Which of the following is an appropriate objective of a consumer loan policy? set annual lending goals for lenders establish a formal loan review program design a business model for lenders...

Q:

Here are the comparative income statements of Novak Corp. NOVAK CORP Comparative Income Statement For the Years Ended December 31 201740 2016 Net sales Cost of goods sold 461,400 Gross Profit...