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Homework answers / question archive / The following details are given for two stocks   Stock 1 Stock 2 Beta 1

The following details are given for two stocks   Stock 1 Stock 2 Beta 1

Finance

The following details are given for two stocks

 

Stock 1

Stock 2

Beta

1.2

0.4

Idiosyncratic Risk

0.05

0.07

Expected Returns of Market Portfolio = 0.13

Variance of the returns of market portfolio = 0.09

Risk-free rate = 0.04

What is the systematic risk of stock 1, under the single factor model?

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