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Assume the global investment market has a risk premium of 5% and standard deviation of 20%. Also, assume there is an asset A that is
Assume the global investment market has a risk premium of 5% and standard deviation of 20%. Also, assume there is an asset A that is 0.5 correlated with the global Investment market and has a standard deviation of 40%. You can only invest in 60% of the market (it is 60% integrated or 40% segmented). Also, assume the illiquidity premium is 1% and the risk free rate is 2%. What is the required return of of asset Abased on ICAPM and the liquidity premium? ENTER YOUR answer with two decimal points and don't enter a % sign. That is, If your answer is 4.00%, please enter 4.00 Type your
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Intermediate Accounting
Authors: Elizabeth A. Gordon, Jana S. Raedy, Alexander J. Sannella
1st edition
978-0133251579, 133251578, 013216230X, 978-0134102313, 134102312, 978-0132162302
