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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 |
1.2 |
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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