The Historical Returns Data for the Past Three Years for Stock

Multiple Choice

The historical returns data for the past three years for Stock B and the stock market portfolio are: Stock B: 24%, 0%, 24%, Market Portfolios: 10%, 12%, 20%. Calculate the required rate of return (cost of equity) for Stock B using CAPM. (The risk-free rate of return
= 4%)

A) 8.6%
B) 12.6%
C) 14.3%
D) None of the above