(Related to Checkpoint 8.3) (CAPM and expected returns) a. Given the following holding-period returns, compute the average returris and the standard deviations for the Sugita Corporation and for the market. b. If Sugita's beta is 1.67 and the risk-free rate is 6 percent, what would be an expected return for an investor owning Sugita? (Note: Because the preceding retums are based on monthly data, you will need to annualize the returns to make them comparable with the risk-free rate. For simplicity, you can convert from monthly to yearly returns by multiplying the average monthly retums by 12.) c. How does Sugita's historical average return compare with the return you should expect based on the Capital Asset Pricing Model and the firm's systematic risk? a. Given the holding-period returns shown in the table, the average monthly retum for the Sugita Corporation is %. (Round to three decimal places.) The standard deviation for the Sugita Corporation is %. (Round to two decimal places.) Given the holding-period returns shown in the table, the average monthly return for the market is %. (Round to three decimal places.) The standard deviation for the market is % (Round to two decimal places.) b. If Sugita's beta is 1.67 and the risk-free rate is 6 percent, the expected retum for an investor owning Sugita is % (Round to two decimal places.) The average annual historical retum for Sugita is%. (Round to two decimal places.) c. How does Sugita's historical average return compare with the return you should expect based on the capital asset pricing model and the firm's systematic risk? (Select from the drop-down menu.) Sugita's historical average return is the return based on the capital asset pricing model and the firm's systematic risk i Data Table Month 1 2 3 Sugita Corp 2.2% 0.0 - 1.0 1.0 4.0 4.0 Market 1.8% 2.0 1.0 1.0 5.0 1.0 Enter your answer in each of the answer boxes. 4 5 Save for Later 6