-An Asset Has the Above Sensitivity to the Market Portfolio

question 29

Multiple Choice

$\begin{array}{|l|l|l|l|}\hline \text { Factor } & {\left[\mathrm{E}\left(\mathrm{R}_{\mathrm{M}}\right) -\mathrm{R}_{\mathrm{F}}\right) } & \mathrm{SMB} & \mathrm{HML} \\\hline \text { Sensitivity } & \mathrm{b}_{\mathrm{i}}=0.60 & \mathrm{~s}_{\mathrm{i}}=-0.44 & \mathrm{~h}_{\mathrm{i}}=0.28 \\\hline \text { Risk premium } & 12.7 \% & -2.17 \% & 3.25 \% \\\hline\end{array}$
-An asset has the above sensitivity to the market portfolio and the risk-free rate is 6%.If an investor uses the CAPM model,but the Fama-French model is the correct model,by how much is the asset's expected return differ?

• A) \( 1.2 \% \)
• B) \( 0.9 \% \)
• C) \( 3.1 \% \)
• D) \( 4.5 \% \)

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Definitions:

Gender Performance

The concept that gender identity and expression are acts performed based on societal expectations, rather than stemming from innate biological differences.

Labeled

The process of classifying or identifying individuals or groups based on characteristics, behaviors, or conditions, often with societal implications.

Intersectional Analysis

An analytical tool for understanding how intersecting identities such as race, gender, class, and sexuality contribute to different experiences of oppression and privilege.

Hegemonic Masculinity

The culturally dominant idea of male behavior, which focuses on strength, dominance, and emotional detachment, often at the expense of other masculinities.