Capital Markets Forecasts: ICAPM and Liquidity Premium What is the required return of asset class A based on ICAPM and the illiquidity premium? 0.19 Sharpe ratio of global investment market 0.80 Correlation of asset class A with the global investment market 0.25 Standard deviation asset class A 0.35 Sharpe ratio of asset class A 60% of asset class A that is integrated 7% Illiquidity premium (also called the liquidity premium) 2% Risk-free interest rate Recall: the Sharpe ratio is the risk premium divided by the standard deviation. ENTER YOUR answer with three decimal points. For example, if your answer is 4.5%, please enter 0.045. IMPORTANT: DO NOT ROUND INTERMEDIATE STEPS