The S&P500 expected return is 18%, and 3 Month T-bill rate is 3% currently. STOCK A has an expected return of 15% and a systematic risk of beta =0.6. STOCK B) has an expected return of 20% and a systematic risk of beta=1.8.

Based on the single factor CAPM:

(1) We can build an arbitrage portfolio by _________________________________________________. (Answer the weight for each asset, and explain the position.)

(2)

The portfolio's arbitrage return would be ____________ % with ___________ beta.

(3) How would STOCK B price and return change after the arbitrage activities?