Question
Consider the single-index model. The alpha of a stock is 2.00%. The return on the market index is 12.00%. The risk-free rate of return is
Consider the single-index model. The alpha of a stock is 2.00%. The return on the market index is 12.00%. The risk-free rate of return is 6.50%. The stock earns a return that exceeds the risk-free rate by 5.50%, and there are no firm-specific events affecting the stock performance. What is the beta of the stock?
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Return on stock 650 550 12 Risk free rate 650 ...
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Risk Management and Financial Institutions
Authors: Hull John
4th edition
1118955943, 978-1118955949
