If we substitute the definitions of E(R I ) and E(R ZI ) into the
Question:
If we substitute the definitions of E(RI∗ ) and E(RZI∗ ) into the zero-beta CAPM Eq. 10. 1, we can derive a theoretical ZCAPM without a riskless rate. Show how to get the theoretical ZCAPM in this case.
Equation 10.1
Transcribed Image Text:
E (R) = E(Rz1) + Bi.1[E(R) - E(Rz)], (10.1)
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Related Book For
Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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