We know the following expected returns for stock A and the market portfolio, given different states of the economy: State (s) Probability E(rA,s) E(rM,s) Recession 0.3 -0.05 0.02 Normal 0.5 0.1 0.05 Expansion 0.2 0.18 0.09 The risk-free rate is 0.02. Assuming the CAPM holds (expected and required returns are the same) , what is the beta for stock A?

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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We know the following expected returns for stock A and the market portfolio, given different states of the economy:

State (s) Probability E(rA,s) E(rM,s)
Recession 0.3 -0.05 0.02
Normal 0.5 0.1 0.05
Expansion 0.2 0.18 0.09

The risk-free rate is 0.02.

Assuming the CAPM holds (expected and required returns are the same) , what is the beta for stock A?

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