ОSB Fund has run the Carhart multi-factor regression on the expected return of its portfolio A. Based on thefollowing factor loadings what types of stocks is portfolio A most likely holding?Risk premiumВАадAlphaMarketSMBHMLMomentum8.0%3.5%4.0%2.1%0.91.7-0.6-0.51.2%a. small stocks, growth stocks, and stocks with poor past performanceb. large stocks, growth stocks, and stocks with poor past performanceC. small stocks, growth stocks, and stocks with good past performanced. large stocks, value stocks, and stocks with good past performancee. small stocks, value stocks, and stocks with poor past performance

The objective of the question is to identify the types of stocks that portfolio A is most likely…

Answered: О SB Fund has run the Carhart…

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 6P

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Question

О
SB Fund has run the Carhart multi-factor regression on the expected return of its portfolio A. Based on the
following factor loadings what types of stocks is portfolio A most likely holding?
Risk premium
ВА
ад
Alpha
Market
SMB
HML
Momentum
8.0%
3.5%
4.0%
2.1%
0.9
1.7
-0.6
-0.5
1.2%
a. small stocks, growth stocks, and stocks with poor past performance
b. large stocks, growth stocks, and stocks with poor past performance
C. small stocks, growth stocks, and stocks with good past performance
d. large stocks, value stocks, and stocks with good past performance
e. small stocks, value stocks, and stocks with poor past performance

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