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Chapter 10 #4 Suppose that there are two independent economic factors, F1 and F2. The risk free rate is 6%, and all stocks have independent firm

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Shakema

Chapter 10 #4 Suppose that there are two independent economic factors, F 1 and F 2 . The risk free rate is 6%, and all stocks have independent firm specific components with a standard deviation of 45%. The following are well diversified portfolios: Portfolio Beta on F 1 Beta on F 2 Expected return A 1.5 2.0 31% B 2.2 -0.2 27% What is the expected return-beat relationship in this economy?
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Finance-8224264.doc

Chapter 10 #4
Suppose that there are two independent economic factors, F1 and F2. The risk free rate is 6%,
and all stocks have independent firm specific components with a standard deviation of...

Sign up to view the full answer

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