NO.PZ2024120401000061
问题如下：
The risk free rate is 3.0% and market risk premium is 4.0%. We conduct a regression analysis for a stock and discover that, with respect to the market, the stock's correlation and beta are, respectively, 0.50 and 1.50. If the volatilities of the overall market and the stock do not change, but their correlation increases to 0.80, what is the change in the stock's expected return?
选项：
A.
+0.30%
B.
+1.2%
C.
+2.4%
D.
+3.6%
解释：
The beta (stock, market) increases from 1.50 to 2.40: 0.80/0.50 * 1.50 = 2.40.
If the beta increases by 2.40 - 1.50 = 0.90, then the expected return increases by 0.90 * premium = 0.90 * 4.0% = 3.60%.
0.8/0.5*1.5是什么意思？