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Determine the expected alpha of security

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Reference no: EM132666780

You are analyzing an equity security with the following attributes:

Expected return: 14.5%

CAPM beta: 1.25

SMB beta: 0.80

HML beta: -0.45

You also collect the following data regarding the market in general:

Equity risk premium: 7.70%

SMB spread: 2.25%

HML spread: 1.00%

Risk free rate: 3.75%

Using this data and the Fama-French model, determine the expected alpha of this security.

Reference no: EM132666780

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