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 $\beta$of the stock is
A)1.57.
B)0.75.
C)1.17.
D)1.33.

Question

Quizplus · Accepted Answer

The correct answer is A.The F1F1F1S1F1F1F10 of the stock is 1.57. This is because the stock's return exceeds the risk-free rate by 11%, and the market index return is 10%. Therefore, the stock's beta is 11% / 10% = 1.57.

Consider the Single-Index Model β\betaβ Of the Stock Is A)1

Consider the Single-Index Model $\beta$ Of the Stock Is
A)1