Question
Suppose there are two independent economic factors, M 1 and M 2 . The risk-free rate is 5%, and all stocks have independent firm-specific components
Suppose there are two independent economic factors, M1 and M2. The risk-free rate is 5%, and all stocks have independent firm-specific components with a standard deviation of 52%. Portfolios A and B are both well diversified.
| Portfolio | Beta on M1 | Beta on M2 | Expected Return (%) |
| A | 1.6 | 2.5 | 31 |
| B | 2.4 | -0.7 | 12 |
What is the expected returnbeta relationship in this economy? (Do not round intermediate calculations. Round your answers to 2 decimal places.)
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Financial Management For Nurse Managers Merging The Heart With The Dollar Merging The Heart With The Dollar
Authors: J. Michael Leger, Janne Dunham-Taylor
4th Edition
1284127257, 978-1284127256
