Questions
Questions

BU.232.640.F3.SP25 Quiz 4

Single choice

In the Fama-French three-factor model, which is NOT a factor?

Options
A.Market excess return (EMKT)
B.Size factor (SMB)
C.Volatility index (VIX)
D.Value factor (HML)
View Explanation

View Explanation

Verified Answer
Please login to view
Step-by-Step Analysis
In the question, we are asked which item is NOT a factor in the Fama-French three-factor model. Option 1: 'Market excess return (EMKT)' — This is indeed one of the core factors in the model, representing the excess return of the market o......Login to view full explanation

Log in for full answers

We've collected over 50,000 authentic exam questions and detailed explanations from around the globe. Log in now and get instant access to the answers!

Similar Questions

If the Fama-French factor model is absolutely correct, which of the following is not true?

For a five-factor asset pricing model, the following table represents the factor returns and the factor loadings (betas) for a company. Calculate the expected excess return (assume all returns are excess) for the company (answer in percent so 6.1% is 6.1). Factor 1 Factor 2 Factor 3 Factor 4 Factor 5 Factor Return in % 2.3 -4.7 0.7 -4.6 1.1 Factor Beta or Loading 1.5 1.1 0.1 0.6 -0.5

For a five factor asset pricing model, the following table represents the factor returns and the factor loadings (betas) for a company. Calculate the expected return for the company (answer in percent so 6.1% is 6.1). Factor 1 Factor 2 Factor 3 Factor 4 Factor 5 Factor Return in % 3.9 3.5 0.3 0 4.7 Factor Beta or Loading -1.6 -1.3 -0.3 -1.2 0

Suppose that the expected return on the stock using a two-factor model is 11%.  You have some updated information about the two factors, which is shown in the table.  Calculate the stock’s actual return if the company-specific surprise for the year is 3%. Variable Actual Value (%) Expected Value (%) Stock’s Factor Sensitivity Change in interest rate 2.0 0.0 -1.5 Growth in GDP 1.0 4.0 2.0 Note: you can solve this question without any calculation. Click to Access Spreadsheet Q23.xlsx Download Q23.xlsx

More Practical Tools for Students Powered by AI Study Helper

Join us and instantly unlock extensive past papers & exclusive solutions to get a head start on your studies!