6. Calculating a beta coefficient for a single stock Suppose that the standard deviation of returns for a single stock A is A = 40%, and the standard deviation of the market return is on -20%. If the correlation between stock A and the market is PAM = 0.7, then the stock's beta is Is it reasonable to expect that the future expected return for a stock will equal its historical average return over a relatively short period of time? e No Yes Next, consider a two-asset portfolio consisting of stock A with wa = 75% and an expected return A - 5% and a standard deviation of ox - 4%, and stock B with ra = 8% and on = 10%. Assuming that the correlation between stocks A and B is zero, the expected return to the portfolio is and the portfolio's standard deviation is Suppose that the correlation between stocks A and B IS DAN - 1, instead of zero. Which of the following statements correctly reflects the new data? The expected return to the portfolio is lower. The expected return to the portfolio is higher The risk associated with the portfolio is lower The risk associated with the portfolio is higher. Suppose that the standard deviation of returns for a single stock Aisa - 40%, and the standard deviation of the market return is on = 20%. If the correlation between stock A and the market is am 0.7, then the stock's beta is Is it reasonable to expect that the future expected return for a stock wil equal its 1.40 I average return over a relatively short period of time? No 0.35 2.00 Yes 0.03 Neynir un Next, consider a two-asset portfolio consisting of stock A with wa = 75% and an expected return TA = 5% and a standard deviation of x = 4%, and stock B with ra = 8% and x = 10%, Assuming that the correlation between stocks A and B is zero, the expected return to the portfolio is and the portfolio's standard deviation is 1.21 0.03905 7.00 pt the correlation between stocks A and B is pas - 1, instead of zero. Which of the following statements correctly reflects the new data? be expected return to the portfolio is lower, he expected return to the portfolio is higher. he risk associated with the portfolio is lower. 5.75 Next, consider a two-asset portfolio consisting of stock A with WA - 75% and an expected return A - 5% and a standard deviation of x = 4%, and stock B with - 8% and 0 - 10%. Assuming that the correlation between stocks A and B is zero, the expected return to the portfolio is and the portfolio's standard deviation is Suppose that the correlation between stocks A and B is pl 5.75 instead of zero. Which of the following statements correctly reflects the new data? 3.16 The expected return to the portfolio is lower 3.91 The expected return to the portfolio is higher 1.77 The risk associated with the portfolio is lower