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Consider the single - factor APT. Stocks A and B have expected returns of 1 2 % and 1 4 % , respectively. The risk

Consider the single

-

factor APT. Stocks A and B have expected returns of

12 %

and

14 %,

respectively. The risk

-

free rate of return is

5 % .

Stock B has a beta of

1.2 .

If arbitrage opportunities are ruled out, what is the beta of stock A

?

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