The market return is 11% and the risk free rate is 4%. Mammoth Inc. has a market beta of 1.2, a SMB beta of −.78, and a HML beta of −1.2. If the risk premium on HML and SMB are both 3%, using the Fama-French Three Factor Model, what is the expected Return on Mammoth Inc. stock?
A) 4.66%
B) 6.46%
C) 12.3%
D) 15.3%
Correct Answer:
Verified
Q56: In a factor model, the return on
Q57: Which of the following is false about
Q58: The factor F in the APT model
Q59: Consider the single-factor APT. Stocks A and
Q60: In the APT model, what is the
Q62: Consider the one-factor APT. The variance of
Q63: Multifactor models, such as the one constructed
Q64: Consider the single factor APT. Portfolio A
Q65: Black argues that past risk premiums on
Q66: The market return is 11% and the
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents