Estimate of the capm beta of commercial property

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Reddy et al (2013) suggest that the Australian commercial property sector has an average historical return of 9.5% with a historical standard deviation of 8.24% and historical correlation with the market of 0.58. The market price of risk is 6% and the average risk-free rate has been 4%. What is the best estimate of the CAPM Beta of commercial property in Australia?

A. β = 0.33.

B. β = 0.92.

C. β = 1.0.

D. β = 0.58.

Reference no: EM131199118

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