Question
The table below provides estimated features of Stock MUI and the market index Probability r (MUI) r (ASX 200) state 1 x % -10% -6%
The table below provides estimated features of Stock MUI and the market index
| Probability | r (MUI) | r (ASX 200) | |
| state 1 | x % | -10% | -6% |
| state 2 | 60 % | 20% | 19% |
The risk-free rate is 4%.
a) calculate the expected return for MUI and the ASX200.
b)Stock AZU has the same beta as MUI and an expected return of 8.5%. Assuming the ASX200 is a suitable proxy for the market portfolio, what is the CAPM alpha of AZU?
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The Oxford Handbook Of IPOs
Authors: Douglas Cumming, Sofia Johan
1st Edition
0190614579, 978-0190614577
