Which portfolio is most sensitive and which portfolio is least sensitive to the change from the CAPM to FF3 model Why r squared alpha Market beta Smb beta Hml beta Expected return per month Small stocks Large stocks CAPM FF3F CAPM FF3F 0 68381 0 95378 0 98403 0 99404 0 37015 0 14115 0 27289 0 2879 ...

Based on the data in the table the small stocks portfolio is likely to be more sensitive to the chan ...

Which portfolio is most sensitive and which portfolio is least sensitive to the change from the CAPM

Fantastic news! We've Found the answer you've been seeking!

Question:

Which portfolio is most sensitive and which portfolio is least sensitive to the change from the CAPM to FF3 model? Why?

Related Book For answer-question

Corporate Finance

ISBN: 978-0077861759

11th edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan

See More Books

Posted Date: Mar 07, 2024 12:11 AM

See More Questions

1. The famous capital asset pricing model or CAPM is a single factor model that characterizes the portion of an assets total return that results from systematic movements in the broader market. It is...
The market return is 12% and the risk-free rate is 4%. Smallish Inc. has a market beta of 0.9, a SMB beta of 0.65, and a HML beta of .52. The risk premium on HML and SMB are both 2%. If the market...
What are the two(2) products dimensions that could be used if a position Map/Perception Map were to be created for VIA instant coffee?
Michael Ingolby opened his first The Outdoor Enthusiast sporting goods store in Calgary in 1999. The store was very successful, and Michael realized he had tapped into a market that had long been...
An adult helping her child learn to ride a bike, applies a net force of 4.32 newtons to the child on the bike for 2.40 seconds. How much momentum does the child and his bike gain after being pushed...
If the drill bit jams when the handle of the hand drill is subjected to the forces shown, determine the resultant internal loadings acting on the cross section of the drill bit at A. Z F-30 lb 9 in....
A small machine shop, with 30 hp of connected load, purchases electricity under the following monthly rates (assume any demand charge is included in this schedule): First 50 kw-hr per hp of connected...
What are the key considerations in the design and optimization of extraction processes for the recovery of valuable metals from ores and industrial waste streams, with a focus on factors affecting...
VF Corporation is an apparel company that owns recognizable brands like Timberland, Vans, Reef, and 7 For All Mankind. Exhibit 5.18 and 5.19 present balance sheets and income statements,...
Yukapioka, a Mexican family business, is experiencing steady growth and has identified the potential for further expansion into international markets. This report outlines a strategic marketing plan...
Hydrogen sulphide (a weak diprotic acid) is added to pure water at a concentration of 10- M. Assuming a temperature of 25 C and assuming ionic strength effects are negligible, determine the pH (to...
Gale Company has the following inventory and purchases during the fiscal year ended December 31, 2023. Beginning Inventory Feb. 10 purchased Feb. 20 sold Mar. 13 purchased Sept. 5 Oct. 10 purchased...
Constants for 16-18: Water: C = 4,180 J/kgoC, Lf = 334,000 J/kg, Lv = 2,260,000 Ice: C = 2000 J/kgoC Steam: C = 1996 J/kgoC In an experiment 2.5 kg of ice that is at -30 C is heated until it is water...
you think you are the strongest or most experienced when it comes to working with type? you want to improve when it comes to working with type? Are there areas within the subject that you do not...
Part 4: Review appraisal ABRG's Records Management Procedure requires client documents to be stored and maintained securely to ensure confidentiality. Electronic files must be saved as a zipped...
Assuming that a company's after-tax cost of debt is lower than its' cost of equity, what will happen to the company's WACC as cash increases and everything else stays unchanged? Hint: An increase in...
What key concerns must functional tactics address in marketing? Finance? POM? Personnel?
Describe the advantages and disadvantages of a taxable merger as opposed to a tax-free exchange. What is the basic determinant of tax status in a merger? Would an LBO be taxable or nontaxable?...
Chris Guthrie was recently hired by S & S Air, Inc., to assist the company with its short-term financial planning and to evaluate the companys performance. Chris graduated from college five years ago...
The historical asset class returns presented in the chapter are not adjusted for inflation. What would happen to the estimated risk premium if we did account for inflation? The returns are also not...
(a) If the particle in Figure 23.6 carries a negative charge \(q (b) Does the electric field created by the particle point toward or away from the particle? (c) If \(q\) and \(q_{2}\) are negative,...
If you know the electric field \(\vec{E}\) at some location, how can you determine the magnitude and direction of the electric force exerted by that field on an object carrying a charge \(q\) and...
(a) In Figure 23.14, what is the direction of the force \(\sum \vec{F}^{E}\) exerted on a particle carrying a charge \(+q\) and placed at \(\mathrm{P}_{1}\) ? (b) How does \(\sum \vec{F}^{E}\) change...

Which portfolio is most sensitive and which portfolio is least sensitive to the change from the CAPM

Question:

Expert Answer:

Based on the data in the table the small stocks portfolio is likely to be more sensitive to the chan... View the full answer

Corporate Finance

Students also viewed these finance questions