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Corporate Finance
12th Edition
ISBN: 9781259918940
Author: Ross, Stephen A.
Publisher: Mcgraw-hill Education,
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Question
Chapter 12, Problem 1MC
Summary Introduction
To determine: The positivity or negativity of the value of the beta in a Fama-French multifactor model.
Introduction: The Fama-French model is based on the idea that stock return has three distinct risk factors—market, size, and value or book-to-market based factor—rather than just one.
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Students have asked these similar questions
Suppose you manage an equity fund with the following securities. Use the following data to calculate the information ratio of each stock.
Input Data
Vogt Industries
Isher Corporation
Hedrock, Incorporated
Alpha
0.012
0.006
0.016
Beta
0.277
1.015
1.630
Standard Deviation
0.156
0.168
0.181
Residual Standard Deviation
0.117
0.048
0.113
Required:
Using the information in the table above, please calculate the information ratio for each stock.
(Use cells A5 to D8 from the given information to complete this question.)
Vogt Industries
Isher Corporation
Hedrock, Incorporated
Information Ratio
. Define and briefly discuss the investment merits of each of the following.
Blue chips
Income stocks
Mid-cap stocks
What problems would confront a mutual fund trying to create an index fund tied to an equally weighted index of a broad stock market?
Chapter 12 Solutions
Corporate Finance
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