Suppose the Following Equation Best Describes the Evolution of β

Question 40

Multiple Choice

Suppose the following equation best describes the evolution of β over time: β_{t} = 0.31 + 0.82β_{t}_{- 1}.
If a stock had a β of 0.88 last year, you would forecast the β to be _______ in the coming year.
A) 0.88
B) 0.82
C) 0.31
D) 1.03