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Suppose the market portfolio tends to increase by 48% when the economy is strong and...

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Finance

Suppose the market portfolio tends to increase by 48% when the economy is strong and decline by -30% when the economy is weak. What is the beta of a type S firm whose return is 60% on average when the economy is strong and -14% when the economy is weak? What is the beta of a type I firm that bears only idiosyncratic, firm-specific risk?

Select one: A. beta of a type S firm: 0, beta of a type I firm: 1

B. beta of a type S firm: 0.95, beta of a type I firm: 0

C. beta of a type S firm: 1.05, beta of a type I firm: 0

D. beta of a type S firm: 0.95, beta of a type I firm: 1

E. beta of a type S firm: 1.05, beta of a type I firm: 1

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