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Betas ALPHABET AMAZON APPLE MICROSOFT RmRf 1 . 1 3 1 . 1 3 1 . 1 8 1 . 2 SMB - 0 .

Betas
ALPHABET AMAZON APPLE MICROSOFT
RmRf 1.131.131.181.2
SMB -0.26-0.2-0.34-0.48
HML -0.43-0.77-0.42-0.48
Ri 0.0335-0.03710.0258-0.0192
Rf=Ri\beta m\times (RmRf)\beta SMB\times SMB\beta HML\times HML
a) Escriba la Security Market Line
Usted encuentra la accin de NVIDIA con la siguiente informacin:
Betas
RmRf 1.61
SMB 0.13
HML -0.87
Ri 0.12
Existe arbitraje?
Suponga que tiene US$1,000. En caso de existir arbitraje, cunto ganaria?
Rf=Ri\beta m\times (RmRf)\beta SMB\times SMB\beta HML\times HML

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