Question
You are given the following data for two risk factors (1 and 2) and two securities (X and Y): l 0 0.06 l 1 0.03
- You are given the following data for two risk factors (1 and 2) and two securities (X and Y):
| l0 | 0.06 |
| l1 | 0.03 |
| l2 | 0.07 |
|
|
|
| bX1 | 0.90 |
| bX2 | 1.30 |
| bY1 | 1.70 |
| bY2 | 2.40 |
Based on the APT model, compute the expected returns for X and Y. Also calculate the expected price of X and Y one year from now given that X and Y are currently priced at Rs. 80 and Rs. 210 (respectively) and are expected to pay a dividend of Rs. 10 and Rs. 20 (respectively) during the coming year
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Finance Introduction To Institutions Investments And Management
Authors: Ronald W. Melicher, Edgar A. Norton
11th Edition
0470004460, 978-0470004463
