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The following are estimates for a stock A. Stock Expected ret. beta firm-specific variance, or Var(e) A 0.12 1.7 0.26 The market index has a
The following are estimates for a stock A.
Stock | Expected ret. | beta | firm-specific variance, or Var(e) |
A | 0.12 | 1.7 | 0.26 |
The market index has a standard deviation of 0.22, and the risk-free rate if 0.02
What percentage of stock A's total risk is attributable to systematic risk (or market risk)? Here consider variance as the risk measure.
Round your answer to 4 decimal places. For example if your answer is 3.205%, then please write down 0.0321.
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