Assume that you ran a time-series regression with your project on the Fama-French factors and found the following:
What would the Fama-French-Momentum model suggest you use as the hurdle rate for this project?
Recall that E(XMKT) ≈ 8.5%, E(UMD) ≈ 8.9%, E(HML) ≈ 4.6%, and E(SMB) ≈ 3.8%.
Assume that the prevailing risk-free Treasury offers 3%.