Question: 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

Using the factor beta estimates in Table 1 shown here, EEB,

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 factor specification. (Annualize your result by multiplying by 12.) GE's CAPM beta over the same time period was 1.41. 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.) Data Table Data Table (Click on the icon locafed on the top-right comer of the data table below in order to copy its contents into a sproadshoot.) (Click on the icon located on the top-right comer of the data table below in order to copy its contents into a spreadsheet.) Table 1: Estimated Factor Betas, 2005-2015 Table 2: FFC Portfolio Average Monthly Returns, 1927-2015 Factor Portfolio MKT- SMB HML PR1YR Average Monthly Return(%) 0.68 0.27 0.43 0.65 95% Confidence Band (%) +0.33 t0.19 +0.21 +0.29 GE Factor MKT SMB HML PR1YR MSFT 1.06 - 0.45 -0.12 -0.06 XOM 0.78 -0.62 0.21 0.32 1.31 -0.36 0.87 -0.26 Print Done 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 factor specification. (Annualize your result by multiplying by 12.) GE's CAPM beta over the same time period was 1.41. 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.) Data Table Data Table (Click on the icon locafed on the top-right comer of the data table below in order to copy its contents into a sproadshoot.) (Click on the icon located on the top-right comer of the data table below in order to copy its contents into a spreadsheet.) Table 1: Estimated Factor Betas, 2005-2015 Table 2: FFC Portfolio Average Monthly Returns, 1927-2015 Factor Portfolio MKT- SMB HML PR1YR Average Monthly Return(%) 0.68 0.27 0.43 0.65 95% Confidence Band (%) +0.33 t0.19 +0.21 +0.29 GE Factor MKT SMB HML PR1YR MSFT 1.06 - 0.45 -0.12 -0.06 XOM 0.78 -0.62 0.21 0.32 1.31 -0.36 0.87 -0.26 Print Done

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