Question: QUESTION 2 (35 MARKS) The following are expected returns on two shares: PRICEWORTH INTERNATIONAL BERHAD (PWORTH) and RIMBUNAN SAWIT BERHAD (RSAWIT) and for the markets

QUESTION 2 (35 MARKS) The following are expected returns on two

QUESTION 2 (35 MARKS) The following are expected returns on two shares: PRICEWORTH INTERNATIONAL BERHAD (PWORTH) and RIMBUNAN SAWIT BERHAD (RSAWIT) and for the markets for two months (January and February): Month Return on FBM KLSE CI Return on Stock PWORTH -2.40% 45.60% Return on Stock RSAWIT 6.60% 13.20% January February 6.25% * 31.25% (a) Calculate the betas for the two stocks. (5 marks) (b) Discuss the problems encountered when testing the CAPM empirically. (10 marks) In light of the problems of the CAPM, the APT model was proposed as an alternative. Explain how does the APT overcome the shortcoming of the CAPM. (10 marks) ASSIGNMENT 1 BBF306/05 PORTFOLIO MANAGEMENT (d) Examine the shortcomings of the APT. (10 marks 2020 TOTAL MARKS: 35 MARKSI

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