Using Solnik's (1974)ICAPM,what Is the Expected Return on an Australian $7.80 \%$

question 8

Multiple Choice

Using Solnik's (1974) ICAPM,what is the expected return on an Australian security with a world market beta of 0.78 if the Australian risk-free rate is 5.37%,the world risk-free rate is 1.7% and the expected return on the world market portfolio is 13.19%?

• A) \( 7.80 \% \)
• B) \( 10.66 \% \)
• C) \( 11.47 \% \)
• D) \( 14.33 \% \)

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