QUESTION 6 (Contin Step 4- Calculate the correlation coefficient of returns 0. g 0.007 0.11104×0.06557 0.00715 0.0072808928 =0.982 Step 5-Calculate the systematic risk(beta) of the security Cov(k;, km) 0.0043July 2003 QUESTION 6 (Continued) Step 4 – Calculate the correlation coefficient of returns ( ) ( ) 0.982 0.0072808928 0.00715 0.11104 0.06557 0.00715 Cov k , k r Cov k , k r S m 1 2 k k S m S,m k k 1 2 1,2 = =  = = =     Step 5 – Calculate the systematic risk (beta) of the security ( ) ( ) 1.663 0.0043 0.00715 Cov k , k b Cov k , k b 2 k S m S 2 k j m j m m = = = =  