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Give the following true population SIM (not estimated SIM): R i - R f =0.1%+1.2( R b - R f )+ i When estimating

Give the following true population SIM (not estimated SIM):

Ri-Rf=0.1%+1.2(Rb-Rf)+ϵi

When estimating this true SIM, what will be the estimated value of alpha (the intercept), when the variance of ϵi is small? Theriskless rate

is 0% and the market risk premium is 0.5%. Your answer should be in percentage points.

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