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Question 8 [5 pts] The table below summarizes the information about two securities and the market portfolio: Security A Security B Market portfolio Variance 0.020

Question 8 [5 pts] The table below summarizes the information about two securities and the market portfolio: Security A Security B Market portfolio Variance 0.020 0.024 0.012 Covariance with the market portfolio 0.015 0.009 - Use the information to answer questions (a) and (b) below. Calculate the CAPM betas for Securities A and B, respectively, and determine which security has a higher systematic risk under the CAPM framework. Answer (show the steps/calculation toward yourresults): Suppose expected returns on a risk-free asset and the market portfolio are 8% and 15%, respectively. Find the CAPM predicted returns on Securities A and B, respectively. Answer (show the steps/calculation toward yourresults):

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