The following table shows the sensitivity of four stocks to the three Fama-French factors. Estimate the expected return on each stock assuming that the interest rate is .2%, the expected risk premium on the market is 7%, the expected risk premium on the size factor is 3.6%, and the expected risk premium on the book-to-market factor is 5.2%.
| Boeing | Johnson&Johnson | Dow Chemical | Microsoft |
Market | 0.66 | 0.54 | 1.05 | 0.91 |
Size | 1.19 | −0.58 | −0.15 | −0.04 |
Book-to-market | −0.76 | 0.19 | 0.77 | −0.40 |
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