-Assume the Fama-French Model Is the Correct Model to Price

Multiple Choice

$\begin{array}{|l|l|l|l|}\hline \text { Factor } & {\left[\mathrm{E}\left(\mathrm{R}_{\mathrm{M}}\right) -\mathrm{R}_{\mathrm{F}}\right) } & \mathrm{SMB} & \mathrm{HML} \\\hline \text { Sensitivity } & \mathrm{b}_{\mathrm{i}}=0.60 & \mathrm{~s}_{\mathrm{i}}=-0.44 & \mathrm{~h}_{\mathrm{i}}=0.28 \\\hline \text { Risk premium } & 12.7 \% & -2.17 \% & 3.25 \% \\\hline\end{array}$
-Assume the Fama-French model is the correct model to price assets.If an asset has the above sensitivities and the risk-free rate is 5%,what is the asset's expected return?

A) $16.1 \%$
B) $15.2 \%$
C) $14.5 \%$
D) $20.5 \%$