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Proof: Recall that $$\beta_{i} = \frac{\mathrm{Cov}(r_{i},r_{m})}{\mathrm{Var}(r_{m})}.$$ Now, the returns on unlevered and levered equity are given by $$r_{U} = \frac{\mathrm{EBIT}(1-\tau) - \mathrm{CAPEX} + \mathrm{Depreciation}}{E_{U}}$$ $$r_{L} = \frac{\mathrm{EBIT}(1-\tau) - \mathrm{CAPEX} + \mathrm{Depreciation} + \mathrm{Net\ Debt} - ...



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