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A stock has three risk factors with loadings of 0 . 8 3 , 1 . 1 and 1 . 2 . The first risk

A stock has three risk factors with loadings of 0.83,1.1 and 1.2. The first risk factor is the same as the CAPM. The other two factors have risk premia of 4% and 3.5% p.a. respectively. Given that the stock is believed to be fairly priced, has an expected return of 19.6% and the US treasury bill rate is 3.15% p.a., what is the expected return on the market for the coming year?

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