Assume that the CAPM holds. Stock ABC has the expected return of ABC = volatility of...
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Assume that the CAPM holds. Stock ABC has the expected return of ABC = volatility of ABC = 28%. It has a market beta of BABC The expected return on the market portfolio is TM M = 30%. = = 0.6. 7.4% per year and return 12%, and the return volatility of the market portfolio is The annual risk-free rate is rf = 5%. Compute the CAPM alpha of ABC. % Compute the volatility of the idiosyncratic component of return of ABC. % Assume that the CAPM holds. Stock ABC has the expected return of ABC = volatility of ABC = 28%. It has a market beta of BABC The expected return on the market portfolio is TM M = 30%. = = 0.6. 7.4% per year and return 12%, and the return volatility of the market portfolio is The annual risk-free rate is rf = 5%. Compute the CAPM alpha of ABC. % Compute the volatility of the idiosyncratic component of return of ABC. %
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