1. Consider the single factor APT, Portfolio A has a beta of 1.4 and an expected return of 20%. Portfolio B has a beta of 0.8 and an expected return of 16%. The risk-free rate of return is 5%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio A;A A;B B;B B;A 1. You consider buying a share of stock at a price of $28. The stock is expected to pay a dividend of $1,20 next year, and your advisory service tells you that you can expect to sell the stock in 1 year for $31. The stock's beta is 0.9 , r is 5%, and E[rm]15%. What is the stock's abnormal return? 1% 9% 4% 0%