Question
We have two economic factors F 1 and F 2 in a two-factor APT model. We have the following data on three well-diversified portfolios. Stock
We have two economic factors F1 and F2 in a two-factor APT model. We have the following data on three well-diversified portfolios.
| Stock | Expected return | bi1 | bi2 |
| A | 7% | 2 | -1 |
| B | 17% | 1 | 2 |
| C | 12% | 1 | ? |
If the risk free rate is 2%, what is stock C's bi2 so that there is no arbitrage opportunity in the market?
Group of answer choices
0.5
-1
2
1
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Audit Accountability And Government
Authors: Fidelma White, Kathryn Hollingsworth
1st Edition
0198262329, 978-0198262329
