Part 5 (ch13) Questions Numeric
For students
Last updated: 28/04/2025
Type your answers with “.” instead of “,”! For numerical answers, use 2 decimal places. For instance, if your answer is 0.12345 or 12.345%, type, “12.34” in the box.
Q1: Alpha Calculation
Q: Consider a stock whose expected return is 11.006 and beta is 1.295. The market risk premium is currently 7.003% and the return of the risk-free asset is 2.991. What is the alpha of the stock?
Answer:
- -1.054
Q2: Fama-French Portfolio
Q2: Consider the following information regarding the Fama-French-Carhart four factor model. What is the expected return of Stock A (in %)? And Stock B (in %)?
| Factor Port. | Average Return (%) | Stock A Betas | Stock B Betas |
|---|---|---|---|
| Rm - rf | 4.992 | 0.91 | 0.979 |
| SMB | 2.982 | 0.787 | 1.097 |
| HML | 3.992 | 0.692 | 1.223 |
| Mom. | 2.493 | 0.603 | 1.329 |
Stock A:
Stock B:
Answer:
11.154
16.356