Question
Consider the multi factor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 5% respectively. The risk-free-rate of return
Consider the multi factor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 5% respectively. The risk-free-rate of return is 4%. Stock A has an expected return of 14% and a beta on factor 1 of 1.3. Stock A has a beta on factor 2 of:
a. 1.67
b. 2.00
c. 1.33
d. 0.44
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Cornett, Otgo Erhemjamts
10th Edition
1260013820, 978-1260013825
