7. Given the data in question 6, what is the estimated beta () of Fund ABC?

(a) 3.1

(b) 2.1

(c)* 1.1

(d) None of the above

8. Suppose that the unbiased estimator of the standard deviation of the disturbance (s) is 5.1. What is the nearest value to the standard errors of the estimated CAPM alpha () of Fund ABC from question 6?

(a) 3.5

(b) 4.5

(c) 5.5

(d)* 6.5

year Rp-rf Rm-rf

1 14 16

2 32 21.7

3 11.6 6

4 21.2 16.2

5 17.4 11