Within the context of the three-factor model assume that the expected rate of return on the market equals 15%, the risk-free rate equals 8%, the expected rate of return on XYZ security equal 36% and the beta of XYZ security equals 1.25. Also assume that XYZ's loading on HML=0.5, its loading on SMB =0.2, the average return on HML=6% and the

average return on SMB=8%. The three factor alpha on XYZ is?

Answer rating: 100% (QA)

To calculate the threefactor alpha of XYZ security well need to use the thre... View the full answer