Solution-How much of asset abc return was idiosyncratic

How much of asset abc return was idiosyncratic

Reference no: EM132484361

Asset ABC has a beta of 0.79, and the risk-free rate is 1.09%. Suppose that the ex-ante form of the CAPM predicted an expected return of 9.75% for asset ABC, but asset ABC's actual return was 15.25%. If the market had preformed 3% higher than expected, how much of asset ABC's return was idiosyncratic?

Reference no: EM132484361

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How much of asset abc return was idiosyncratic

Reference no: EM132484361

Reference no: EM132484361

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