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Consider the Single-Factor APT

Question 14

Multiple Choice

Consider the single-factor APT.Stocks A and B have expected returns of 12% and 14%,respectively.The risk-free rate of return is 5%.Stock B has a beta of 1.2.If arbitrage opportunities are ruled out,stock A has a beta of __________.


A) 0.67
B) 0.93
C) 1.30
D) 1.69
E) none of the above

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