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A zero-coupon bond with a market-beta of 0.2 promises to pay $1,000 in the first year. However, it may default and pay nothing with probability

A zero-coupon bond with a market-beta of 0.2 promises to pay $1,000 in the first year. However, it may default and pay nothing with probability 0.03. If the risk-free rate is 4.6%, the equity premium is 6.1%, and the CAPM is correct, what would be the bond price today?

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