Consider the Single-Factor APT

question 35

Multiple Choice

Consider the single-factor APT.Stocks A and B have expected returns of 15% and 18%,respectively.The risk-free rate of return is 6%.Stock B has a beta of 1.0.If arbitrage opportunities are ruled out,stock A has a beta of __________.

• A)0.67
• B)1.00
• C)1.30
• D)1.69
• E)none of the above

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