consider the multifactor APT with two factors. Stock A has an expected return of 12.70%, a beta of 1.2 on factor 1, and
Posted: Fri Jul 01, 2022 7:42 am
consider the multifactor APT with two factors. Stock A has anexpected return of 12.70%, a beta of 1.2 on factor 1, and a beta of0.6 on factor 2. The risk premium on the factor 1 portfolio is4.00%. The risk-free rate of return is 5.20%.
What is the risk premium on factor 2 if no arbitrageopportunities exist?
(Round your answer to 2 decimalplaces.)
What is the risk premium on factor 2 if no arbitrageopportunities exist?
(Round your answer to 2 decimalplaces.)