Suppose that there are two independent economic factors, and P. The risk-free rate is 6%, and...
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Suppose that there are two independent economic factors, and P. The risk-free rate is 6%, and all stocks have independent firm- specific components with a standard deviation of 43%. Portfolios A and B are both well-diversified with the following properties: Portfolio Beta on 1 1.9 2.8 rf RP1 RP2 6.00 % Beta on 12 2.2 -0.22 What is the expected return-beta relationship in this economy? Calculate the risk-free rate, r, and the factor risk premiums, RP, and RP, to complete the equation below. (Do not round intermediate calculations. Round your answers to two decimal places.) (rp) (8P1 RP1) (DP2 * XP2) % % Expected Return 338 281 Suppose that there are two independent economic factors, and P. The risk-free rate is 6%, and all stocks have independent firm- specific components with a standard deviation of 43%. Portfolios A and B are both well-diversified with the following properties: Portfolio Beta on 1 1.9 2.8 rf RP1 RP2 6.00 % Beta on 12 2.2 -0.22 What is the expected return-beta relationship in this economy? Calculate the risk-free rate, r, and the factor risk premiums, RP, and RP, to complete the equation below. (Do not round intermediate calculations. Round your answers to two decimal places.) (rp) (8P1 RP1) (DP2 * XP2) % % Expected Return 338 281
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To find the expected returnbeta relationship in this economy you can use the Capital Asset Pricing M... View the full answer
Related Book For
Essentials of Investments
ISBN: 978-0077835422
10th edition
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
Posted Date:
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