Use the following information to answer questions 23 - 24. Consider a three-factor model. You are in charge of a $100 million Centurion Select Fund. You have invested all your money into one stock. Consider the following multifactor model for the stock and factor observations over the last year. Factor Factor Beta Factor Realizations Market 1.2 12% Industrial Prod 0.5 7% Oil 0.3 3% TBill rates were 4%. Question 23 The predicted return on the stock is …………………………….. %. Question 24 Suppose the stock actually returns 15.5%. Your alpha is ………………………………. %.
Use the following information to answer questions 23 - 24. Consider a three-factor model. You are in charge of a $100 million Centurion Select Fund. You have invested all your money into one stock. Consider the following multifactor model for the stock and factor observations over the last year. Factor Factor Beta Factor Realizations Market 1.2 12% Industrial Prod 0.5 7% Oil 0.3 3% TBill rates were 4%. Question 23 The predicted return on the stock is …………………………….. %. Question 24 Suppose the stock actually returns 15.5%. Your alpha is ………………………………. %.
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter2: Risk And Return: Part I
Section: Chapter Questions
Problem 10P
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Question
Use the following information to answer questions 23 - 24.
Consider a three-factor model.
You are in charge of a $100 million Centurion Select Fund. You have invested all your money into one stock. Consider the following multifactor model for the stock and factor observations over the last year.
| Factor | Factor Beta | Factor Realizations |
| Market | 1.2 | 12% |
| Industrial Prod | 0.5 | 7% |
| Oil | 0.3 | 3% |
TBill rates were 4%.
Question 23
The predicted return on the stock is …………………………….. %.
Question 24
Suppose the stock actually returns 15.5%. Your alpha is ………………………………. %.
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