medium · Principles of Finance risk-return-portfolio
Using the Fama-French Three-Factor Model, estimate the required return for a stock with a market beta of 1.2, a size loading (β_SMB) of 0.5, and a value loading (β_HML) of -0.3. Assume r_f = 3%, E(R_m - r_f) = 6%, E(SMB) = 2%, and E(HML) = 4%.
- 11.2%
- 7.0%
- 10.0%
- 12.4%
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