What is the beta of security that has and expected return

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Reference no: EM131964646

Suppose the that stochastic discount factor ,m, is linear in the market return, X, as follows

m = = 0.8-1.74X

The historical market return is E (X) = 12%, and its standard deviation is 20%. What is the beta of a security that has and expected return of 15%?

Reference no: EM131964646

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