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Homework answers / question archive / The correlation coefficient between stock H and the market portfolio is 0
The correlation coefficient between stock H and the market portfolio is 0.6. The standard deviation of returns for stock H is 35% and that for the market is 20%. Calculate the CAPM-beta of the stock. A 1.40 B 1.05 0.95 D) 0.45
Beta = correlation coefficient between market and stock *(standard deviation of stock returns/standard deviation of market returns)
Beta = 0.6 * (0.35 / 0.2)
Beta = 0.6 * 1.75
Beta = 1.05
