Given the Following Data for the a Stock: Risk-Free Rate

question 7

Multiple Choice

Given the following data for the a stock: risk-free rate = 5%; beta (market) = 1.4; beta
(size) = 0.4; beta (book-to-market) = -1.1; market risk premium = 7%; size risk premium =
3) 7%; and book-to-market risk premium = 5.2%. Calculate the expected return on the stock using the Fama-French three-factor model.

• A) 22.3%
• B) 7.8%
• C) 10.6%
• D) none of the above

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Definitions:

Notables

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