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You are given the following information on shares A and B: Probability Share A Share B Market Boom 40% 14% 24% 16% Normal 50% 10%
You are given the following information on shares A and B: Probability Share A Share B Market Boom 40% 14% 24% 16% Normal 50% 10% 20% 12% Recession 10% -2% 1% 6% The risk-free rate of return is 5% and the expected return on the market is 13%. Assume that the correlation between the market and share A is 0.23 and between the market and share B is 0.87. The beta of share B is
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