Q.4553 John Edwin, a financial risk manager, is in the process of forecasting stock returns. Edwin intends to use the Fama-French three-factor model. He gathers the following information for a stock i: | Variable | Value | Factor beta | Value | |------------------------------|-------|-------------|-------| | Expected return on the market| 9% | $\beta_{i,\text{MKT}}$ | 1.20 | | Value premium | 3% | $\beta_{i,\text{HML}}$ | 1.25 | | Size premium | 7% | $\beta_{i,\text{SMB}}$ | 1.10 | If the risk-free rate is 3%, what is the expected rate of return of stock i? | Financial Risk Manager Part 2 Quiz - LeetQuiz