Question
Suppose the CAPM holds. The proportion of a stock's return variance which is idiosyncratic is 60%. What is the correlation between the excess returns on
Suppose the CAPM holds. The proportion of a stock's return variance which is idiosyncratic is 60%. What is the correlation between the excess returns on the stock and the market, to 2 decimal places? A. 0.63 B. +/- 0.63 C. 0.77 D. +/- 0.77
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
978-0078034800, 78034809, 978-0071051590
