Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 4%, respectively. The risk-free rate of return is 4%. Stock A has an expected return of 16% and a beta on factor-1 of 1.3. Stock A has a beta on factor-2 of
A) 1.33.
B) 1.05.
C) 1.67.
D) 2.00.

Question

Quizplus · Accepted Answer

The Answer of Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 4%, respectively. The risk-free rate of return is 4%. Stock A has an expected return of 16% and a beta on factor-1 of 1.3. Stock A has a beta on factor-2 of
A) 1.33.
B) 1.05.
C) 1.67.
D) 2.00.

Consider the Multifactor APT