Hi I just wanted to confirm that by the traditional CAPM we mean the single factor CAPM i.e. Market, so the correct answer should be B. However if asked according to the multifactor CAPM would Dividend be included as a factor because I am aware that Company size and Momentum come under the Cahart 4 factor model and have never seen Dividend described as a factor in terms of determining return.

Any help is much appreciated.

Thanks

The table below shows different factors (betas), their risk premiums and sensitivities Risk premium to the Portfolio sensitivity to the Factors Market Dividend Company factors 35% 5% 25% 3% factors 0.8 0.6 2 1.5 Size Momentum The risk-free rate is 1.0 percent. What is the expected return according to the traditional Capital Asset Pricing Model (CAPM)? a. b. C. d. 2.8%. 3.8%. 13.3%. 16.3%