The beta for a certain stock is 1.15, the risk-free rate is 5 percent, and the expected

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The beta for a certain stock is 1.15, the risk-free rate is 5 percent, and the expected return on the market is 13 percent. Complete the following table to decompose the stock€™s return into the systematic return and the unsystematic return.

Unexpected Returns Systematic Actual Returns Unsystematic Portion (e) Portion RM [RM- E(R,)] × B [R - E(R)] – [RM- E(

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Fundamentals of Investments, Valuation and Management

ISBN: 978-1259720697

8th edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

Question Posted: Nov 15, 2018 06:54 AM

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The beta for a certain stock is 1.15, the risk-free rate is 5 percent, and the expected

Question:

Unexpected Returns Systematic Actual Returns Unsystematic Portion (e) Portion RM [RM- E(R,)] × B [R - E(R)] – [RM- E(R„)] × ß Year R- E(R) RM- E(R„) м 12 2012 11 8. 2013 2014 -8 -11 14 2015 -6 2016 28

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ER 05 11513 05 1420 Unexpected Returns Systematic ...View the full answer

Fundamentals of Investments, Valuation and Management

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