Recall the CAPM predicts that E(R)-R-B[E(Rm)-R]. It can be shown that the SDF in the CAPM is just a linear function of the market return Rm: M=a+bRm, where a and b are determined by risk free rate R, the expected return of the market E(Rm), and variance of the marker return Var(Rm). Suppose E(Rm)=10%. Var(Rm)-0.05, and R-2%, what is the value of b? Pls round your answer to 3 decimal places, e.g., 0.123. Hint: The fundamental asset pricing equation holds for any asset including the market portfolio. You can derive the expressions for a and b by applying the fundamental asset pricing equation to the market portfolio; that is, E[M(1+Rm)]=1. Continue with the above, calculate the value of a. Pls round your answer to 3 decimal places, e.g.. 0.123. Recall the CAPM predicts that E(R)-R-B[E(Rm)-R]. It can be shown that the SDF in the CAPM is just a linear function of the market return Rm: M=a+bRm, where a and b are determined by risk free rate R, the expected return of the market E(Rm), and variance of the marker return Var(Rm). Suppose E(Rm)=10%. Var(Rm)-0.05, and R-2%, what is the value of b? Pls round your answer to 3 decimal places, e.g., 0.123. Hint: The fundamental asset pricing equation holds for any asset including the market portfolio. You can derive the expressions for a and b by applying the fundamental asset pricing equation to the market portfolio; that is, E[M(1+Rm)]=1. Continue with the above, calculate the value of a. Pls round your answer to 3 decimal places, e.g.. 0.123