Consider the Single-Index Model

question 87

Multiple Choice

Consider the single-index model.The alpha of a stock is 0%.The return on the market index is 10%.The risk-free rate of return is 3%.The stock earns a return that exceeds the risk-free rate by 11%, and there are no firm-specific events affecting the stock performance.The β of the stock is

• A)0.64.
• B)0.75.
• C)1.17.
• D)1.33.
• E)1.50.

---

Definitions:

Medium

A means or channel through which something is communicated or expressed.

Analyzing

The process of examining something methodically and in detail so as to understand its nature or to determine its essential features.

Anticipating

The act of expecting or predicting future events or needs based on current trends or data.

Background Information

Preliminary data or knowledge that provides context for a new study, discussion, or analysis.