Consider the following simplified APT model: Factor Expected Risk Premium (%) Market 6.8 ...
Consider the following simplified APT model:
| Factor |
Expected Risk Premium (%) |
| Market | 6.8 |
| Interest rate | −.2 |
| Yield spread | 4.6 |
| Factor Risk Exposures | |||
| Market | Interest Rate | Yield Spread | |
| Stock | (b1) | (b2) | (b3) |
| P | .8 | −1.4 | −.2 |
| P2 | 1.1 | 0 | .4 |
| P3 | .3 | 1.5 | 1.2 |
Calculate the expected return for each of the stocks shown in the table above. Assume rf = 4.0%. (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.)
| Expected return P | % |
| Expected return P | % |
| Expected return P3 | % |
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mpk Mon, Dec 27, 2021 5:39 AM