Question: You are examining three different shares. Share A has expected return 5.30%, beta 0.66, and volatility 12.00%. Share B has expected return 0.60%, beta -0.08,

You are examining three different shares. Share A has expected return 5.30%, beta 0.66, and volatility 12.00%. Share B has expected return 0.60%, beta -0.08, and volatility 32.00%. Finally, share C has expected return 9.90%, beta 1.41, and volatility 28.00%. The risk free rate is 1.50%, while the market price of risk is 6.30%. According to the CAPM, which share is undervalued?

None of the shares is undervalued

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