Exhibit 92
Use the Information Below for the Following Problem(S)
Consider

Exhibit 9.2
Use the Information Below for the Following Problem(S)
Consider the three stocks, stock X, stock Y and stock Z, that have the following factor loadings (or factor betas) .
$$\begin{array} { c c c } \text { Stack } & \text { Factor 1 Londine } & \text { Factor } 2 \text { Londing } \\\hline X & - [ .55 & 1.2 \\Y & - [ .10 & 0.85 \\Z & 0.35 & 0.5\end{array}$$
The zero-beta return (??) = 3%, and the risk premia are ?? = 10%, ?? = 8%. Assume that all three stocks are currently priced at $50.
-Refer to Exhibit 9.2.If you know that the actual prices one year from now are stock X $55,stock Y $52,and stock Z $57,then

A) stock X is undervalued, stock Y is undervalued, stock Z is undervalued.
B) stock X is undervalued, stock Y is overvalued, stock Z is overvalued.
C) stock X is overvalued, stock Y is undervalued, stock Z is undervalued.
D) stock X is undervalued, stock Y is overvalued, stock Z is undervalued.
E) stock X is overvalued, stock Y is overvalued, stock Z is undervalued.