Question: 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

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 factor specification. (Annualize your result by multiplying by 12.) GE?s CAPM beta over the same time period was 1.43. 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.) FFC Portfolio Average Monthly Returns, 1927-2018 Factor Portfolio Average Monthly Return (%) 95% Confidence Band (%) 0.61 +0.32 MKT-rf SMB HML 0.23 0.41 0.68 + 0.19 + 0.21 +0.28 PR1YR Estimated Factor Betas, 2007-2017 MSFT XOM Factor GE 1.10 0.66 1.22 MKT SMB -0.71 -0.38 -0.27 -0.01 0.76 HML PR1YR 0.17 0.21 0.02 -0.24 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 factor specification. (Annualize your result by multiplying by 12.) GE?s CAPM beta over the same time period was 1.43. 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.) FFC Portfolio Average Monthly Returns, 1927-2018 Factor Portfolio Average Monthly Return (%) 95% Confidence Band (%) 0.61 +0.32 MKT-rf SMB HML 0.23 0.41 0.68 + 0.19 + 0.21 +0.28 PR1YR Estimated Factor Betas, 2007-2017 MSFT XOM Factor GE 1.10 0.66 1.22 MKT SMB -0.71 -0.38 -0.27 -0.01 0.76 HML PR1YR 0.17 0.21 0.02 -0.24

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