Assume the Following Data for a Stock: Risk-Free Rate =

Multiple Choice

Assume the following data for 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) 20.9%