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Suppose you estimate a CAPM regression of a total stock market index fund using net returns of the fund (i., fund returns after expenses the investor...

Suppose you estimate a CAPM regression of a total stock market index fund using net returns of the fund (i.e., fund returns after expenses the investor has to pay). The index fund has an annual expense of 0.8% per year.

What will be the alpha of this fund in the CAPM (on an annual basis)?

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