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).
$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). The zero-beta return ( \lambda 0) = 3 percent, and the risk premia are \lambda 1 = 10 percent and \lambda 2 = 8 percent. Assume that all three stocks are currently priced at $50. -Refer to Exhibit 7.9. The expected prices one year from now for stocks X, Y, and Z are A) $53.55, $54.4, $55.25 B) $45.35, $54.4, $55.25 C) $55.55, $56.35, $57.15 D) $50, $50, $50 E) $51.35, $47.79, $51.58.$ The zero-beta return (

\lambda

0) = 3 percent, and the risk premia are

\lambda

1 = 10 percent and

\lambda

2 = 8 percent. Assume that all three stocks are currently priced at $50.
-Refer to Exhibit 7.9. The expected prices one year from now for stocks X, Y, and Z are
A) $53.55, $54.4, $55.25
B) $45.35, $54.4, $55.25
C) $55.55, $56.35, $57.15
D) $50, $50, $50
E) $51.35, $47.79, $51.58.

In a Multifactor Model, Time Horizon Risk Represents

Multiple Choice

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