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...
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](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F1af9b39c-ca33-4293-95c4-33d92a522d94%2F91fa5008-a18d-42a0-9cc5-c7f1f50a0fd5%2Fviw9qvn_processed.png&w=3840&q=75)
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
![](/static/compass_v2/shared-icons/check-mark.png)
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
Step by step
Solved in 3 steps with 2 images
![Blurred answer](/static/compass_v2/solution-images/blurred-answer.jpg)
Knowledge Booster
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.Recommended textbooks for you
![Intermediate Financial Management (MindTap Course…](https://www.bartleby.com/isbn_cover_images/9781337395083/9781337395083_smallCoverImage.gif)
Intermediate Financial Management (MindTap Course…
Finance
ISBN:
9781337395083
Author:
Eugene F. Brigham, Phillip R. Daves
Publisher:
Cengage Learning
![Financial Management: Theory & Practice](https://www.bartleby.com/isbn_cover_images/9781337909730/9781337909730_smallCoverImage.gif)
![Intermediate Financial Management (MindTap Course…](https://www.bartleby.com/isbn_cover_images/9781337395083/9781337395083_smallCoverImage.gif)
Intermediate Financial Management (MindTap Course…
Finance
ISBN:
9781337395083
Author:
Eugene F. Brigham, Phillip R. Daves
Publisher:
Cengage Learning
![Financial Management: Theory & Practice](https://www.bartleby.com/isbn_cover_images/9781337909730/9781337909730_smallCoverImage.gif)