Suppose the market portfolio has an expected return of 9% and a volatility of 18.5%. YMH stock return has a 22% volatility and a correlation with the market return of 0.74. If the risk-free rate is 19 and the CAPM holds, what is the Sharpe ratio of the YMH stock? O 0.32 0.384 O 0.2944

Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter2: Risk And Return: Part I
Section: Chapter Questions
Problem 12P: Stock R has a beta of 1.5, Stock S has a beta of 0.75, the expected rate of return on an average...
icon
Related questions
Question
Suppose the market portfolio has an expected return of 9% and a volatility of 18.5%. YMH stock
return has a 22% volatility and a correlation with the market return of 0.74. If the risk-free rate is 1%
and the CAPM holds, what is the Sharpe ratio of the YMH stock?
O 0.32
0.384
O 0.2944
O 0.3648
Transcribed Image Text:Suppose the market portfolio has an expected return of 9% and a volatility of 18.5%. YMH stock return has a 22% volatility and a correlation with the market return of 0.74. If the risk-free rate is 1% and the CAPM holds, what is the Sharpe ratio of the YMH stock? O 0.32 0.384 O 0.2944 O 0.3648
Expert Solution
steps

Step by step

Solved in 3 steps with 2 images

Blurred answer
Knowledge Booster
Risk and Return
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, finance and related others by exploring similar questions and additional content below.
Similar questions
  • SEE MORE QUESTIONS
Recommended textbooks for you
Intermediate Financial Management (MindTap Course…
Intermediate Financial Management (MindTap Course…
Finance
ISBN:
9781337395083
Author:
Eugene F. Brigham, Phillip R. Daves
Publisher:
Cengage Learning
Financial Management: Theory & Practice
Financial Management: Theory & Practice
Finance
ISBN:
9781337909730
Author:
Brigham
Publisher:
Cengage
Corporate Fin Focused Approach
Corporate Fin Focused Approach
Finance
ISBN:
9781285660516
Author:
EHRHARDT
Publisher:
Cengage