Given the Following Data for the a Stock: Risk-Free Rate

Multiple Choice

Given the following data for the a stock: risk-free rate = 5%; beta (market) = 1.5; beta
(size) = 0.3; beta (book-to-market) = 1.1; market risk premium = 7%; size risk premium =
3) 7%; and book-to-market risk premium = 5.2%. Calculate the expected return on the stock using the Fama-French three-factor model.

A) 22.3%
B) 7.8%
C) 11.5%
D) none of the above