Consider the multifactor APT with two factors. Stock A has an expected return of​ 28.7%, a beta of 1.16 on factor​ 1, and a beta of 0.67 on factor 2. The risk premium on the factor 1 portfolio...

Consider the multifactor APT with two factors. Stock A has an expected return of​ 28.7%, a beta of 1.16 on factor​ 1, and a beta of 0.67 on factor 2. The risk premium on the factor 1 portfolio is​ 2.7%. The​ risk-free rate of return is​ 3%. What is the​ risk-premium on factor 2 if no arbitrage opportunities​ exist?

A.

​4%

B.

​7.75%

C.

​15.91%

D.

​3%

E.

​9.26%