hard · Principles of Finance
According to the Fama-French Three-Factor Model, a stock has a market beta of 1.2, a size beta (SMB) of 0.5, and a value beta (HML) of -0.3.
If the market risk premium is 6%, the SMB premium is 2%, the HML premium is 3%, and the risk-free rate is 4%, what is the expected return?
- 11.2%
- 11.3%
- 13.1%
- 7.3%
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