Question
Consider the following information about two stocks: Stock A: Expected Return 15% Standard Deviation 30% stock B: expected return 20% standard deviation 25% If CAPM
Consider the following information about two stocks:
Stock A:
Expected Return 15%
Standard Deviation 30%
stock B:
expected return 20%
standard deviation 25%
If CAPM holds, is this situation possible? Is it possible for one stock to have a lower expected return and a higher standard deviation than another stock if CAPM holds?
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Modern Financial Markets Prices, Yields, And Risk Analysis
Authors: Mark Griffiths, Drew Winters, David W Blackwell
1st Edition
0470000104, 9780470000106
