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suppose that we have identified three important systematic risk factors given by export inflation and industrial production In the beginning of the year

suppose that we have identified three important systematic risk factors given by export, inflation, and industrial production. In the beginning of the year, growth in these three factors is estimated at -1%, 2.5%, and 3.5%, respectively. However, actual growth in these factors turns out to be 1%,-2% and 2%. The factor betas are given by bex=1.8, b1=0.7, bip=1.0if the expected return on the stock is 6%, and no unexpected news concerning the stock surfaces, calculate the stock’s total return.

Jun 16 2020 View more View Less

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