Question
Suppose the risk-free return is 1% and the market portfolio has an expected return of 9% and a volatility of 20%. The ABC Corp. stock
Suppose the risk-free return is 1% and the market portfolio has an expected return of 9% and a volatility of 20%. The ABC Corp. stock has a 25% volatility and a correlation with the market of 0.65.
a. What is ABCs beta with respect to the market? (10 points)
b. Under the CAPM assumptions, what is its expected return? (10 points)
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Financial Analysts Indispensable Pocket Guide
Authors: Ram Ramesh
1st Edition
0071361561, 978-0071361569
