hard · Principles of Finance
Using the Fama-French three-factor model, a stock has a beta of 1.2, an SMB sensitivity of 0.5, and an HML sensitivity of -0.3.
If the risk-free rate is 3%, the market risk premium is 6%, the SMB premium is 2%, and the HML premium is 4%, what is the expected return?
- 10.2%
- 12.4%
- 7.0%
- 10.0%
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