The following table shows the sensitivity of four stocks to the three Fama–French factors. Assume the interest rate is 2%, the expected risk premium on the market is 5%, the expected risk premium on the size factor is 2.9%, and the expected risk premium on the book-to-market factor is 4.7%. Ford Walmart Citigroup Apple Market 1.34 0.74 1.15 1.35 Size −0.17 −0.46 −0.42 −0.57 Book-to-market 0.86 −0.37 0.95 −0.62 Calculate the expected return on each stock. (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.)
The following table shows the sensitivity of four stocks to the three Fama–French factors. Assume the interest rate is 2%, the expected risk premium on the market is 5%, the expected risk premium on the size factor is 2.9%, and the expected risk premium on the book-to-market factor is 4.7%. Ford Walmart Citigroup Apple Market 1.34 0.74 1.15 1.35 Size −0.17 −0.46 −0.42 −0.57 Book-to-market 0.86 −0.37 0.95 −0.62 Calculate the expected return on each stock. (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.)
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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The following table shows the sensitivity of four stocks to the three Fama–French factors. Assume the interest rate is 2%, the expected risk premium on the market is 5%, the expected risk premium on the size factor is 2.9%, and the expected risk premium on the book-to-market factor is 4.7%.
| Ford | Walmart | Citigroup | Apple | |
| Market | 1.34 | 0.74 | 1.15 | 1.35 |
| Size | −0.17 | −0.46 | −0.42 | −0.57 |
| Book-to-market | 0.86 | −0.37 | 0.95 | −0.62 |
Calculate the expected return on each stock. (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.)
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