Question
You anticipate that a single stock, A, will return 15.50% next year. It has a variance of 0.019 and a covariance with the market portfolio
You anticipate that a single stock, A, will return 15.50% next year. It has a variance of 0.019 and a covariance with the market portfolio given by 0.006.
The market portfolio has an expected return of 10.10%, a market risk premium 4.20% and a variance of 0.014.
What is stock A's CAPM alpha?
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Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
14th edition
133879879, 978-0133879872
