Consider returns of stock A and the market portfolio M in three years: A 7% 12% 26%

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Consider returns of stock A and the market portfolio M in three years:

A 7% 12% 26%

M 5% 9% 18%

Assuming the risk-free rate is 5%,

(a) calculate b of stock A; and

(b) verify if CAPM describes pricing of stock A.

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Quantitative Finance For Physicists An Introduction

ISBN: 9780120884643

1st Edition

Authors: Anatoly B. Schmidt

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Question Posted: Oct 26, 2024 03:00 AM

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Consider returns of stock A and the market portfolio M in three years: A 7% 12% 26%

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Quantitative Finance For Physicists An Introduction

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