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Risk premium and annual risk premium of siri

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Reference no: EM133116589

Suppose you have calculated the average monthly returns of the Fama-French-Carhart (FFC) portfolios over the 1926-2019 period. You have also estimated the factor betas for 4 stocks using multiple regression analysis with monthly return data. All figures are provided in the Table below. Assume that the annual risk-free interest rate is equal to 3%.

Please use Excel to calculate the following and show the formula::

The monthly expected return, annual expected return, risk premium and annual risk premium of SIRI

Factor Portfolios

Average monthly returns (1926-2019)

 

Factor betas

 

RMkt - rf

0.66%

COST

DE

HSY

SIRI

1.008

1.089

0.209

1.100

SMB

0.20%

-0.304

0.008

-0.561

-0.118

HML

0.36%

-0.297

0.546

-0.045

0.064

PR1YR  

0.66%

0.235

-0.122

0.269

0.193

 

Reference no: EM133116589

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