Question
You have contacted an investment advisor in The Cheap Bank Ltd. to get information about five financial assets in the next period. He tells you
You have contacted an investment advisor in The Cheap Bank Ltd. to get information about five financial assets in the next period. He tells you that CAPM and the so-called zero-beta CAPM holds in the next period. Zero-beta CAPM is a model, where CAPM holds, even though you replace the risk-free return in the CAPM model with the return of an asset having a beta-value of 0. The investment advisor sends you the below information, but unfortunately, he forgot some of the numbers. Fill in the missing information in the following table:
| Asset | Expected return | Relative risk | Variance | Unsystematic risk variance | Absolute systematic risk |
| A | ? | 0,8 | ? | 0,0072 | ? |
| B | 19% | 1,5 | ? | 0,005 | ? |
| C | 15% | ? | 0,02 | ? | ? |
| D | 7% | 0 | 0,006 | ? | ? |
| E | 16,60% | ? | 0,0338 | ? | ? |
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Managerial Accounting An Introduction To Concepts Methods And Uses
Authors: Michael W. Maher, Clyde P. Stickney, Roman L. Weil, Sidney Davidson
7th Edition
9780030259630
