Expected rate of return on the bigvalue portfolio risk


Average Annual Rates Standard Deviation T-Bills Inflation Real T-Bill T-Bills Inflation Real T-Bill All months 3.46 2.10 0.56 3.12 4.07 3.81 First half 1.04 1.68 − 0.29 1.29 5.95 6.27 Recent half 4.45 3.53 0.90 3.11 2.89 2.13 (1926-2016) Market Index Big/ Growth Big/ Value Small/ Growth Small/ Value Mean excess return (annualized) 0.83 7.98 11.67 8.79 15.56 Standard deviation (annualized) 18.64 18.50 24.62 26.21 28.36 Using the data provided above, what would be your predictions for the following? (Round your answers to 2 decimal places.) T-bill rate % ? Expected rate of return on the big/Value portfolio %? Risk premium on the stock market?

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Financial Management: Expected rate of return on the bigvalue portfolio risk
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