You have been provided the following data on the securities of three firms and the market: Security E[Ri] s.d (Ri) Corr(Ri, Rm) Beta i Firm one _____A____ _____B____ 1.0 0.85 Firm two _____C____ 0.18 0.7 _____D____ Firm three _____E____ 0.05 _____F_____ 0.8 The market 0.10 0.04 1.2 _____G_____ Risk-free asset 0.08 0 0 0 Assume that the CAPM and SML are true. Fill in the missing values in the table. (Show the calculation process and results)
You have been provided the following data on the securities of three firms and the market: Security E[Ri] s.d (Ri) Corr(Ri, Rm) Beta i Firm one _____A____ _____B____ 1.0 0.85 Firm two _____C____ 0.18 0.7 _____D____ Firm three _____E____ 0.05 _____F_____ 0.8 The market 0.10 0.04 1.2 _____G_____ Risk-free asset 0.08 0 0 0 Assume that the CAPM and SML are true. Fill in the missing values in the table. (Show the calculation process and results)
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Question
You have been provided the following data on the securities of three firms and the market:
|
Security |
E[Ri] |
s.d (Ri) |
Corr(Ri, Rm) |
Beta i |
|
Firm one |
_____A____ |
_____B____ |
1.0 |
0.85 |
|
Firm two |
_____C____ |
0.18 |
0.7 |
_____D____ |
|
Firm three |
_____E____ |
0.05 |
_____F_____ |
0.8 |
|
The market |
0.10 |
0.04 |
1.2 |
_____G_____ |
|
Risk-free asset |
0.08 |
0 |
0 |
0 |
Assume that the CAPM and SML are true. Fill in the missing values in the table. (Show the calculation process and results)
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