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Category > Business & Finance Posted 31 Jul 2017 My Price 11.00

1. The following table shows the sensitivity

1. The following table shows the sensitivity of four stocks to the three Fama–French factors. Estimate the expected return on each stock assuming that the interest rate is .2%, the expected risk premium on the market is 7%, the expected risk premium on the size factor is 3.6%, and the expected risk premium on the book-to-market factor is 5.2%.

 

Boeing

Johnson & Johnson

Dow Chemical

Microsoft

Market

0.66

0.54

1.05

0.91

Size

1.19

-0.58

-0.15

-0.04

Book-to-market

-0.76

0.19

0.77

-0.40

2. In footnote 4 we noted that the minimum-risk portfolio contained an investment of 73.1% in Campbell Soup and 26.9% in Boeing. Prove it. ( Hint: You need a little calculus to do so.)

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Status NEW Posted 31 Jul 2017 01:07 PM My Price 11.00

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