An individual common stock has a beta of 0.9 and a correlation coefficient of 0.9. The expected return of the stock is 20%, and the standard deviation of its returns is 12%. If a risk-free asset has an expected return of 4%, then: a) the expected return on the market portfolio is 22%. b) the market returns standard deviation is 12%. c) the beta of the market returns is 0.9. d) both a) and b) are true. e) both a) and c) are true. Pls show procedure, thanks
An individual common stock has a beta of 0.9 and a correlation coefficient of 0.9. The expected return of the stock is 20%, and the standard deviation of its returns is 12%. If a risk-free asset has an expected return of 4%, then: a) the expected return on the market portfolio is 22%. b) the market returns standard deviation is 12%. c) the beta of the market returns is 0.9. d) both a) and b) are true. e) both a) and c) are true. Pls show procedure, thanks
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 3Q: Security A has an expected return of 7%, a standard deviation of returns of 35%, a correlation...
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An individual common stock has a beta of 0.9 and a correlation coefficient of 0.9. The expected return of the stock is 20%, and the standard deviation of its returns is 12%. If a risk-free asset has an expected return of 4%, then:
a) the expected return on the market portfolio is 22%.
b) the market returns standard deviation is 12%.
c) the beta of the market returns is 0.9.
d) both a) and b) are true. e) both a) and c) are true.
Pls show procedure, thanks
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