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

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...

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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

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