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Consider the regression equation: Y; = bo+b;X;+ e where: Y = 1- r= the average difference between the monthly return on stock i and the

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Consider the regression equation: Y; = bo+b;X;+ e where: Y = 1- r= the average difference between the monthly return on stock i and the monthly risk-free rate b; = the beta of stock i If this regression represents the CAPM, then X, must equal The total return on the market portfolio O Tracking error O The excess return on the market portfolio O The alpha of security i O The average excess return on security

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