12. The variance of stock X’s return is 16%, the variance of market return is 6.25%, the correlation
coefficient of return on stock X and market is 0.6, and according to CAPM, the beta of stock X is:
(A) 0.88
(B) 0.96
(C) 1.0
(D) 1.2
共 3 頁，第 1 頁
Questions (13) ~ (16)
Suppose that in the coming year, you expect Exxon-Mobil stock to have a volatility of 42% and a
beta of 0.9, and Merck's stock to have a volatility of 24% and a beta of 1.1. The risk free interest
rate is 4% and the market's expected return is 12%.