Using the factor beta estimates in the table shown here, B, and the monthly expected return estimates in Table 13.1, EB , 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 1.45. How does the risk premium you would estimate from the

CAPM compare?

The monthly risk premium of General Electric stock is %. (Round to three decimal places.)

Data table

(Click on the following icon = in order to copy its contents into a spreadsheet.)

Factor

MKT

SMB

HML

PR1VR

Estimated Factor Betas. 2007-2017

MSFT

XO

1.10

0 66

- 071

- 0.38

-001

0.17

0 02

0 21

GE

1 25

- 0.28

0.79

-025

Data table

(Click on the following icon in order to copy its contents into a spreadsheet.)

FC Portfolio Average Monthlv Returns, 1927-2018

Factor Portfolio

Average Monthlv Return (%)

95% Confidence Band (%)

MKT-re

0.66

+ 0.32

SMR

026

HMI

0 1?

+0.19

+021

PR1VR

~ 67

+ 028

the FFC factor specfication. (Annualine your result by multiplying by 12) GE's CAPM beta over the same fime period was 1.45. How does the risk premium you would eatimale frem the CAPM compare? The morthly risk promium of Genera: Electrie stock is 16. (Round to three decimas places) Data table [Click on the following icon in order to copy its contents ints a speesdanet)] Data table (Click on the following licon o in crder to copy its conitents into a spreacsheot)