Problem 5: Market Efficiency (15 marks) 15% OGM Market Portfolio Security Market Line Y IBM 10% Expected Return IBM Exxon Mobil Risk-Free 5% Investment 1 = effect of news Anheuser- Busch = effect of trade -0.50 0.00 0.50 1.00 1.50 2.00 Beta A. Based on the above security market line, explain the effect of news on the expected return of GM and IBM stocks and how the resulting stock trade bring back its stock's alpha to zero in equilibrium. (7 marks) B. Explain disposition effect. (2 marks) C. Explain and discuss the differences of the three forms of efficient market hypothesis. (6 marks)