alio Theory and Investmen... DZ - If we accept the Sharpe model as a description of expected returns, using the data in Table 16.1, find the expected return on a stock in the construction industry with the following characteristics. Assume a riskless rate of 8%: Beta = 1.2 Yield = 6 Size = 0.4 Bond beta 0.2 Alpha = 1 = Conditions on the relationship between ex and ir are delineated in McElroy and Burmeister (1988). I Table 16.1 Cross-Sectional Data on Sharpe's Multifactor Model Percentage of Months in which Annualized Value Associated I Was Significantly Attribute of Associated Different from Zero Beta 5.36 58.3 Yield 0.24 39.5 Size -5.56 56.5 Bond beta -0.12 28.2 -2.00 43.5 Alpha alio Theory and Investmen... DZ - If we accept the Sharpe model as a description of expected returns, using the data in Table 16.1, find the expected return on a stock in the construction industry with the following characteristics. Assume a riskless rate of 8%: Beta = 1.2 Yield = 6 Size = 0.4 Bond beta 0.2 Alpha = 1 = Conditions on the relationship between ex and ir are delineated in McElroy and Burmeister (1988). I Table 16.1 Cross-Sectional Data on Sharpe's Multifactor Model Percentage of Months in which Annualized Value Associated I Was Significantly Attribute of Associated Different from Zero Beta 5.36 58.3 Yield 0.24 39.5 Size -5.56 56.5 Bond beta -0.12 28.2 -2.00 43.5 Alpha