14. The XYZ stock has a beta of 1.1 with respect to the SPY ETF. You have invested $10,000 in XYZbg are concerned about the possibility of the S&P500 index moving down, so you want to make your investmeee "market neutral". Shares of SPY cost $50. What action do you take? A. Short sell 220 shares of SPY B. Buy 200 shares of SPY C. Shor-sell 200 shares of SPY D. Buy put options on the SPY E. Sell Call options on the SPY 15. The historical rate of return on stock A was regressed on the rate of return of stock M (the explanatory variable). The slope of the regression line was 0.8, the standard deviation of the residuals was 0.3 and the standard deviation of the rate of return of M was 0.2. What was the standard deviation of the rate of return on A? A. 0.460 B. 0.349 C. 0.286 D. None of the above 16. Consider the following data: Portfolio Expected return 10% 14% 18% beta 2.0 Portfolios a,b, and c are well diversified. If there is an arbitrage opportunity, how will it be done? A. Buy stocks a and short stocks b and c, B. buy stocks a and b and short c, C. buy stock b and short a and c. D. There is no arbitrage opportunity. 17. The two-factor model on a stock provides a risk premium for exposure to market risk of 9, a risk premiu for exposure to interest rate of (-1.3%), and a risk-free rte of 4.5. What is the expected return on the stock? B. 11.2% C. 13.8% D. 15.2%