An analyst gathered daily stock returns for February 1 through March 31, calculated the Fama-French factors for each day in the sample (SMBt and HML), and estimated the Fama-French regression model shown in Equation 6-21. The estimated coefficients were ai= 0, bi= 1.2, ci= -0.4, and di= 1.3. On April 1, the market return was 10%, the return on the SMB portfolio (rSMB) was 3.2%, and the return on the HML portfolio (rHML) was 4.8%. Using the estimated model, what was the stock’s predicted return for April 1?
An analyst gathered daily stock returns for February 1 through March 31, calculated the Fama-French factors for each day in the sample (SMBt and HML), and estimated the Fama-French regression model shown in Equation 6-21. The estimated coefficients were ai= 0, bi= 1.2, ci= -0.4, and di= 1.3. On April 1, the market return was 10%, the return on the SMB portfolio (rSMB) was 3.2%, and the return on the HML portfolio (rHML) was 4.8%. Using the estimated model, what was the stock’s predicted return for April 1?
Financial Management: Theory & Practice
16th Edition
ISBN:9781337909730
Author:Brigham
Publisher:Brigham
Chapter6: Risk And Return
Section: Chapter Questions
Problem 4P: An analyst gathered daily stock returns for Feburary 1 through March 31, calculated the Fama-French...
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An analyst gathered daily stock returns for February 1 through March 31, calculated the Fama-French factors for each day in the sample (SMBt and HML), and estimated the Fama-French regression model shown in Equation 6-21. The estimated coefficients were
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