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Fama-French Three-Factor Model An analyst has modeled the stock of a company using the Fama French...
An analyst has modeled the stock of a company using the Fama-French three-factor model. The market...
An analyst has modeled the stock of a company using the Fama-French three-factor model. The market return is 10%, the return on the SMB portfolio (rSMB) is 3.5%, and the return on the HML portfolio (rHML) is 6.0%. If ai = 0, bi = 1.2, ci = -0.4, and di = 1.3, what is the stock's predicted return? Do not round intermediate calculations. Round your answer to two decimal places
An analyst has modeled the stock of a company using a Fama-French three-factor model. The risk-free...
An analyst has modeled the stock of a company using a Fama-French three-factor model. The risk-free rate is 4%, the market return is 10%, the return on the SMB portfolio (rSMB) is 3.7%, and the return on the HML portfolio (rHML) is 4.9%. If ai = 0, bi = 1.2, ci = - 0.4, and di = 1.3, what is the stock's predicted return? Round your answer to two decimal places.
An analyst has modeled the stock of a company using a Fama-French three-factor model. The risk-free...
An analyst has modeled the stock of a company using a Fama-French three-factor model. The risk-free rate is 6%, the market return is 12%, the return on the SMB portfolio (rSMB) is 3.8%, and the return on the HML portfolio (rHML) is 4.6%. If ai = 0, bi = 1.2, ci = - 0.4, and di = 1.3, what is the stock's predicted return? Round your answer to two decimal places. %
You want to find the expected return of your firm using the Fama-French model. The risk...
You want to find the expected return of your firm using the Fama-French model. The risk free rate is 0.020, and the expected market return is 0.149. The HML factor and the SMB factors have expected returns of 0.039, and 0.038, respectively. You measured the beta on the market, the HML factor, and the SMB factor as 0.6, 1.2, and 0.3, respectively. What is the expected return for your firm?
16. The Fama-French three-factor model Consider the following two statements and identify which model each describes:...
16. The Fama-French three-factor model Consider the following two statements and identify which model each describes: This model uses a single risk factor, the variability of the stock with respect to the market portfolio, to explain the required return on a security or portfolio. Capital Asset Pricing Model Fama-French three-factor model This model is incorrect because the size effect it uses does not influence stock returns and the book-to-market value effect either is insignificant or is not a function of...
Consider the Fama-French 3-factor model. The risk-free rate is 1% and the xpected return on the...
Consider the Fama-French 3-factor model. The risk-free rate is 1% and the xpected return on the market is 11%. The stock's market beta is 1, SMB beta is 0.5 and eta is -0.5. EPML) and Ers) are 6% and 7%, respectively. The stock's expected return is 12%. Relative to the Fama-French 3-factor model, the stock has and is 1) Positive alpha, undervalued 2) Positive alpha, overvalued 3) Negative alpha, undervalued 4) Negative alpha, overvalued 5) Zero alpha, Fairly valued A...
Allison, an analyst at Fantastique Tech (FT), models the stock of the company. Suppose that the...
Allison, an analyst at Fantastique Tech (FT), models the stock of the company. Suppose that the risk-free rate rRFrRF = 5%, the required market return rMrM = 10%, the risk premium for small stocks rSMBrSMB = 3.2%, and the risk premium for value stocks rHMLrHML = 4.8%. Suppose also that Allison ran the regression for Fantastique Tech’s stock and estimated the following regression coefficients: aFTaFT = 0.00, bFTbFT = 1.2, cFTcFT = -20.4, and dFTdFT = -1.3. If Allison uses...
suppose rRF=5%, rM=10%, and rA=12%. a. calculate stock A’s beta. b. if Stock A’s beta were...
suppose rRF=5%, rM=10%, and rA=12%.
a. calculate stock A’s beta.
b. if Stock A’s beta were 2.0, then what would be A’s new
required rate of return?
return on the WD I TU = -0.4, and An analyst has modeled the si model. The market return is 10%, the return on lile JIU return on the HML portfolio (THML) is 4.8%. If a; = 0, b; = 1.2, c = what is the stock's predicted return? INTERMEDIATE PROBLEMS 5-10 ....
The following table shows the sensitivity of four stocks to the three Fama-French factors. Assume the...
The following table shows the sensitivity of four stocks to the three Fama-French factors. Assume the interest rate is 3%, the expected risk premium on the market is 6%, the expected risk premium on the size factor is 3.6%, and the expected risk premium on the book- to-market factor is 4.8%. Market Size Book-to-market Ford 1.33 -0.16 0.85 Walmart 0.72 -0.47 -0.27 Citigroup 1.14 -0.08 Apple 1.34 -0.58 -0.63 0.94 Calculate the expected return on each stock. (Do not round...
The following table shows the sensitivity of four stocks to the three Fama-French factors. Assume the...
The following table shows the sensitivity of four stocks to the three Fama-French factors. Assume the interest rate is 5%, the expected risk premium on the market is 8%, the expected risk premium on the size factor is 3.8%, and the expected risk premium on the book-to-market factor is 3.7%. Market Size Book-to-market Ford 1.44 -0.27 0.66 Walmart 0.94 -0.36 -0.27 Citigroup 1.25 -0.52 1.05 Apple 1.45 -0.65 -1.08 Calculate the expected return on each stock. (Do not round intermediate...
Consider the Fama-French 3-factor model. The risk-free rate is 1% and the xpected return on the market is 11%. The stock's market beta is 1, SMB beta is 0.5 and eta is -0.5. EPML) and Ers) are 6% and 7%, respectively. The stock's expected return is 12%. Relative to the Fama-French 3-factor model, the stock has and is 1) Positive alpha, undervalued 2) Positive alpha, overvalued 3) Negative alpha, undervalued 4) Negative alpha, overvalued 5) Zero alpha, Fairly valued A...
suppose rRF=5%, rM=10%, and rA=12%.
a. calculate stock A’s beta.
b. if Stock A’s beta were 2.0, then what would be A’s new
required rate of return?
return on the WD I TU = -0.4, and An analyst has modeled the si model. The market return is 10%, the return on lile JIU return on the HML portfolio (THML) is 4.8%. If a; = 0, b; = 1.2, c = what is the stock's predicted return? INTERMEDIATE PROBLEMS 5-10 ....
The following table shows the sensitivity of four stocks to the three Fama-French factors. Assume the interest rate is 3%, the expected risk premium on the market is 6%, the expected risk premium on the size factor is 3.6%, and the expected risk premium on the book- to-market factor is 4.8%. Market Size Book-to-market Ford 1.33 -0.16 0.85 Walmart 0.72 -0.47 -0.27 Citigroup 1.14 -0.08 Apple 1.34 -0.58 -0.63 0.94 Calculate the expected return on each stock. (Do not round...
The following table shows the sensitivity of four stocks to the three Fama-French factors. Assume the interest rate is 5%, the expected risk premium on the market is 8%, the expected risk premium on the size factor is 3.8%, and the expected risk premium on the book-to-market factor is 3.7%. Market Size Book-to-market Ford 1.44 -0.27 0.66 Walmart 0.94 -0.36 -0.27 Citigroup 1.25 -0.52 1.05 Apple 1.45 -0.65 -1.08 Calculate the expected return on each stock. (Do not round intermediate...
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