The Table Below Provides Factor Risk Sensitivities and Factor Risk

Multiple Choice

The table below provides factor risk sensitivities and factor risk premia for a three-factor model for a particular asset, where factor 1 is MP (the growth rate in U.S. industrial production) , factor 2 is UI (the difference between actual and expected inflation) , and factor 3 is UPR (the unanticipated change in bond credit spread) . Calculate the expected excess return for the asset.

A) 12.32 percent
B) 9.32 percent
C) 4.56 percent
D) 6.32 percent
E) 8.02 percent