Consider the properties of the returns to stock A and the market m. σA = 20% ρA,m = 0.4 σm = 15% E(rm)= 15% where σi denotes the standard deviation of asset i (i = A or m); ρA,m denotes the correlation between asset A and the market portfolio; and E(rm) is the expected return on the market portfolio. What is the beta of stock A? a. 0.667 b. 0.533 c. 0.850 d. 0.300 e. 0.400
Consider the properties of the returns to stock A and the market m.
σA = 20% ρA,m = 0.4 σm = 15% E(rm)= 15%
where σi denotes the standard deviation of asset i (i = A or m); ρA,m denotes the
| a. |
0.667 |
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| b. |
0.533 |
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| c. |
0.850 |
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| d. |
0.300 |
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| e. |
0.400 Consider the properties of the returns to stock A and the market m.
σA = 20% ρA,m = 0.4 σm = 15% E(rm)= 15%
where σi denotes the standard deviation of asset i (i = A or m); ρA,m denotes the correlation between asset A and the market portfolio; and E(rm) is the expected return on the market portfolio. What is the beta of stock A?
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