State whether each of the following is inconsistent with the CAPM. A security with only diversifiable risk has an expected return that exceeds the risk-free interest rate. A security with a beta of 1 had a return last year of 15% when the market had a return of 9% Small stocks with a beta of 1.5 tend to have higher returns on average than large stocks with a beta of 1.5.

Suppose that the market portfolio is equally likely to increase by 24% or decrease by 8%. Security "X" goes up on average by 29% when the market goes up and goes down by 11% when the market goes down. Security "Y" goes down on average by 16% when the market goes up and goes up by 16% when the market goes down. Security "Z" goes up on average by 4% when the market goes up and goes up by 4% when the market goes down. The expected return on security with a beta of 1.2 is closest to: 4.8% 8.0% 8.8% 9.6%

risk-free rate have to be if they are correctly priced? (See Problems 19 and 20.) 11.4 CAPM Suppose the risk-free rate is 8 percent. The expected return on the market is 14 percent. If a particular stock has a beta of .60, what is its expected return based on the CAPM? If another stock has an expected return of 20 percent, what must its beta be? (See Problem 13.)

According to the CAPM, what is the expected return on a security given market risk premium of 13%, a stock beta of 1.77, and a risk free interest rate of 2%? Put the answer in decimal place.

Stock R has a beta of 1.8, Stock S has a beta of 0.55, the expected rate of return on an average stock is 9%, and the risk-free rate is 3%. By how much does the required return on the riskier stock exceed that on the less risky stock?

Suppose the​ risk-free return is 3.5% and the market portfolio has an expected return of 11.9% and a volatility of 12.9% Merck​ & Co.​ (Ticker: MRK) stock has a 20.8% volatility and a correlation with the market of 0.065. a. What is​ Merck's beta with respect to the​ market? b. Under the CAPM​ assumptions, what is its expected​ return?

Consider the following multifactor (APT) model of security returns for a particular stock. Factor Factor Beta Factor Risk Premium Inflation 1.1 9% Industrial production 0.7 11 Oil prices 0.3 7 Required: If T - bills currently offer a 6% yield, find the expected rate of return on this stock if the market views the stock as fairly priced. Suppose that the market expects the values for the three macro factors given in column 1 below, but that the actual values turn out as given in column 2. Calculate the revised expectations for the rate of return on the stock once the "surprises" become known. Factor Expected Value Actual Value Inflation 7 % 3% Industrial production 6 7 Oil prices 4 0 Note: For all requirements, do not round intermediate calculations. Round your answers to 1 decimal place.

A stock has a beta of 1.32 and an expected return of 12.8 percent. The risk-free rate is 3.6 percent. What is the slope of the security market line? Can the calculator and excel solution be provided?

You are using the CAPM to calculate a fair return for Stardust common stock. The shares have a volatility of 36.00%, while the market has a volatility of 19.00%. The correlation between the two sets of returns is 0.30. The risk free rate is 1.00%, while the expected return on the market is 3.90%. What is the fair return for Stardust common stock?