Question
Stock A beta = 0.8 Expected return of stock A = 10% Stock B beta = 1.3 Expected return of stock B = 12% Q:
Stock A beta = 0.8
Expected return of stock A = 10%
Stock B beta = 1.3
Expected return of stock B = 12%
Q: What would the risk-free rate have to be for the two stocks to be correctly priced relative to each other, according to the CAPM?
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Quantitative Trading
Authors: Ernest P. Chan
2nd Edition
1119800064, 978-1119800064
