You have estimated the following Fama-French 3-factor model for Tesla stock (TSLA): Regression Model Outputs for...

 

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You have estimated the following Fama-French 3-factor model for Tesla stock (TSLA): Regression Model Outputs for TSLA Returns Standard Error Intercept Market SMB HML Coefficients 0.03 2.23 -0.42 -0.95 0.0235 0.5305 0.8518 0.6482 t-stat 1.0657 4.2112 -0.4937 -1.4686 P-value 0.2911 0.0001 0.6235 0.1475 Assume that the risk-free rate is 1%. A. (1 point) What is the alpha of TSLA? Is it statistically significant at the 10%, 5%, or 1% threshold for significance? Briefly explain. B. (1 point) According to the estimated coefficients, which of the following styles represents TSLA: large-cap growth, large-cap value, small-cap growth, or small-cap value? Briefly explain. C. (1 point) Suppose that the expected market risk premium (MKT-RF) is 7%, SMB is 3%, and HML is 1%. What is the expected return on TSLA according to the Fama-French 3-factor model? You have estimated the following Fama-French 3-factor model for Tesla stock (TSLA): Regression Model Outputs for TSLA Returns Standard Error Intercept Market SMB HML Coefficients 0.03 2.23 -0.42 -0.95 0.0235 0.5305 0.8518 0.6482 t-stat 1.0657 4.2112 -0.4937 -1.4686 P-value 0.2911 0.0001 0.6235 0.1475 Assume that the risk-free rate is 1%. A. (1 point) What is the alpha of TSLA? Is it statistically significant at the 10%, 5%, or 1% threshold for significance? Briefly explain. B. (1 point) According to the estimated coefficients, which of the following styles represents TSLA: large-cap growth, large-cap value, small-cap growth, or small-cap value? Briefly explain. C. (1 point) Suppose that the expected market risk premium (MKT-RF) is 7%, SMB is 3%, and HML is 1%. What is the expected return on TSLA according to the Fama-French 3-factor model?

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Ass ume that the risk free rate is 1 A 1 point What is the alpha of T SL A ANS WER The alpha is 0 03 ... View the full answer