Fama-French Three-Factor Model An analyst has modeled the stock of a company using the Fama-French three-factor model. The market return is 11%, the return on the SMB portfolio (r SMB ) is 3.6%, and...

Fama-French Three-Factor Model

An analyst has modeled the stock of a company using the Fama-French three-factor model. The market return is 11%, the return on the SMB portfolio (r_SMB) is 3.6%, and the return on the HML portfolio (r_HML) is 5.4%. Risk free return 0%. . If a_i
= 0, b_i
= 1.2, c_i
= -0.4, and d_i
= 1.3, what is the stock's predicted return? Round your answer to two decimal places.