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35. An equals 3%. Determine the expected excess return for the nvestment firm, FINCMw2, uses the...
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?
Problem 3 The risk-free rate is 2%, the market risk premium is 5%, and the size...
Problem 3 The risk-free rate is 2%, the market risk premium is 5%, and the size factor and value factor return are 2% and 3%. Below table shows the return characteristics of two stocks A and B: Stock Forecasted return (FR) BMKT BSMB BHML 9.60% 0.9 0.8 -0.5 4.80% 0.8 -0.2 0.4 a. [2pts) According to the Fama-French 3-factor model, what would be the fair return for each stock? b. 2pts Characterize each stock as underpriced, overpriced, or properly priced.
Problem 3: Calculating a portfolio's beta and CAPM-based expected rate of return Ashley is curious to...
Problem 3: Calculating a portfolio's beta and CAPM-based expected rate of return Ashley is curious to know what her portfolio's CAPM-based expected rate of return should be. After doing some research, she determines that the current market values and betas of each of her 5 stock are as listed below. She is informed by her financial advisor that the risk-free rate is 3% and the market risk premium is 8%. Calculate the expected rate of return on Ashley's portfolio. Stock...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results
for stocks A and B. The risk-free rate over the
period was 7%, and the market’s average return was 14%. Performance
is measured using an index model regression on excess returns.
Consider the two excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns Stock A...
Problem 24-9 Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Problem 24-9 Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. points Index model regression estimates 10 + re) Stock A 1.2(y- 0.659 11.78 238 Stock B 20 + 0.8(EM - 0.478 F Residual standard deviation, die Standard deviation of excess returns a. Calculate the following statistics for each stock...
#05 A Saved Consider the two (excess return) index-model regression results for stocks A and B....
#05 A Saved Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, a market's average return was 14%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, ole) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf) 0.611 10.9% 22.2% Stock B 2% + 0.8(rm -rf) 0.454 19.7% 26.1% a. Calculate the following statistics for...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf) 0.629 11.2% 22.5% Stock B 2% + 0.8(rm -rf) 0.463 20% 26.7% a. Calculate the following statistics for each stock:...
please show work Consider the two (excess return) index-model regression results for stocks A and B....
please show work
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, and the market's average return was 12%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf 0.599 10.7% 22% Stock B 2% + 0.8(rm -rf) 0.448 19.5% 25.7% a. Calculate the following statistics...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, 0(e) Standard deviation of excess returns Stock A 1% + 1.2(M - rf) 0.659 11.7% 238 Stock B 2% + 0.8(IM - rf) 0.478 20.5% 27.7% a. Calculate the following statistics for each...
Stock X has a 10.0% expected return, a beta coefficient of 0.9, and a 35% standard...
Stock X has a 10.0% expected return, a beta coefficient of 0.9, and a 35% standard deviation of expected returns. Stock Y has a 13.0% expected return, a beta coefficient of 1.3, and a 30% standard deviation. The risk-free rate is 6%, and the market risk premium is 5%. Calculate each stock's coefficient of variation. Do not round intermediate calculations. Round your answers to two decimal places. CVx = CVy = Which stock is riskier for a diversified investor? For...
Problem 3 The risk-free rate is 2%, the market risk premium is 5%, and the size factor and value factor return are 2% and 3%. Below table shows the return characteristics of two stocks A and B: Stock Forecasted return (FR) BMKT BSMB BHML 9.60% 0.9 0.8 -0.5 4.80% 0.8 -0.2 0.4 a. [2pts) According to the Fama-French 3-factor model, what would be the fair return for each stock? b. 2pts Characterize each stock as underpriced, overpriced, or properly priced.
Problem 3: Calculating a portfolio's beta and CAPM-based expected rate of return Ashley is curious to know what her portfolio's CAPM-based expected rate of return should be. After doing some research, she determines that the current market values and betas of each of her 5 stock are as listed below. She is informed by her financial advisor that the risk-free rate is 3% and the market risk premium is 8%. Calculate the expected rate of return on Ashley's portfolio. Stock...
Consider the two (excess return) index-model regression results
for stocks A and B. The risk-free rate over the
period was 7%, and the market’s average return was 14%. Performance
is measured using an index model regression on excess returns.
Consider the two excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns Stock A...
Problem 24-9 Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. points Index model regression estimates 10 + re) Stock A 1.2(y- 0.659 11.78 238 Stock B 20 + 0.8(EM - 0.478 F Residual standard deviation, die Standard deviation of excess returns a. Calculate the following statistics for each stock...
#05 A Saved Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, a market's average return was 14%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, ole) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf) 0.611 10.9% 22.2% Stock B 2% + 0.8(rm -rf) 0.454 19.7% 26.1% a. Calculate the following statistics for...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf) 0.629 11.2% 22.5% Stock B 2% + 0.8(rm -rf) 0.463 20% 26.7% a. Calculate the following statistics for each stock:...
please show work
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, and the market's average return was 12%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf 0.599 10.7% 22% Stock B 2% + 0.8(rm -rf) 0.448 19.5% 25.7% a. Calculate the following statistics...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, 0(e) Standard deviation of excess returns Stock A 1% + 1.2(M - rf) 0.659 11.7% 238 Stock B 2% + 0.8(IM - rf) 0.478 20.5% 27.7% a. Calculate the following statistics for each...
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