An index model regression applied to past monthly returns in Ford’s stock price produces the following...
An index model regression applied to past monthly returns in Ford’s stock price produces the following estimates, which are believed to be stable over time: rF = 0.1% + 1.1rM If the market index subsequently rises by 7.2% and Ford’s stock price rises by 7%, what is the abnormal change in Ford’s stock price? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.)
Homework Answers
Predicted Return = 0.1% + 1.1(7.2%) = 0.1% + 7.92% = 8.02%
Abnormal Return = Actual Return - Predicted Return = 7% - 8.02% = -1.02%
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An index model regression applied to past monthly returns in
Ford’s stock price produces the following...
An index model regression applied to past monthly returns in Ford's stock price produces the following...
An index model regression applied to past monthly returns in Ford's stock price produces the following estimates, which are believed to be stable over time: rf = 0.10% + 1.1rm If the market index subsequently rises by 8% and Ford's stock price rises by 7%, what is the abnormal change in Ford's stock price? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 1 decimal place.) Abnormal returnIn a recent closely...
05 i Saved An index model regression applied to past monthly returns in Ford's stock price...
05 i Saved An index model regression applied to past monthly returns in Ford's stock price produces the following estimates, which are believed to be stable over time: F = 0.1% + 1.17M If the market index subsequently rises by 9.2% and Ford's stock price rises by 9%, what is the abnormal change in Ford's stock price? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.) Abnormal reutrn
How to solve for abnoral return
An index model regression applied to past monthly returns in Ford’s stock price produces the following estimates, which are believed to be stable over time: rF = .10%+ 1.1rM If the market index subsequently rises by 7.3% and Ford’s stock price rises by 7%, what is the abnormal change in Ford’s stock price?
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market’s average return was 14%. Performance is measured using an index model regression on excess returns. Stock A Stock B Index model regression estimates 1% + 1.2(rM − rf) 2% + 0.8(rM − rf) R-square 0.635 0.466 Residual standard deviation, σ(e) 11.3% 20.1% Standard deviation of excess returns 22.6% 26.9% a. Calculate the following statistics for each...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, and the market’s average return was 12%. Performance is measured using an index model regression on excess returns. Stock A Stock B Index model regression estimates 1% + 1.2(rM − rf) 2% + 0.8(rM − rf) R-square 0.599 0.448 Residual standard deviation, σ(e) 10.7% 19.5% Standard deviation of excess returns 22% 25.7% a. Calculate the following statistics for each...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 4%, and the market’s average return was 11%. Performance is measured using an index model regression on excess returns. Stock A Stock B Index model regression estimates 1% + 1.2(rM − rf) 2% + 0.8(rM − rf) R-square 0.683 0.49 Residual standard deviation, σ(e) 12.1% 20.9% Standard deviation of excess returns 23.4% 28.5% a. Calculate the following statistics for each...
Consider the two (excess return) index model regression results for A and B. RA = 1.2%...
Consider the two (excess return) index model regression results for A and B. RA = 1.2% + 1.5M R-square = 0.612 Residual standard deviation = 11.5% RB = -1.8% + 0.9RM R-square = 0.476 Residual standard deviation = 9.5% a. Which stock has more firm-specific risk? Stock A Stock B b. Which stock has greater market risk? Stock A Stock B c. For which stock does market movement has a greater fraction of return variability? Stock A Stock B d....
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 4%, and the marker's average return was 11%. Performance is measured using an index model regression on excess returns Index model regression estimates R-square Residual standard deviation, (e) Standard deviation of excess returns Stock A 1% + 1.2M - rf) 2.683 12.15 23.4% Stock 8 2% + 0.8( - rf) 2.49 20.93 28.5% a. Calculate the following statistics for each...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results
for stocks A and B. The risk-free rate over the
period was 7%, and the market’s average return was 14%. Performance
is measured using an index model regression on excess returns.
Consider the two excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns Stock A...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 16%. Performance is measured using an index model regression on excess returns. Stock 18 + 1.2 (ry - rp) 0.677 Index model regression estimates R-square Residual standard deviation, (e) Standard deviation of excess returns Stock B 28 +0.8(IN - rf) 0.487 20.88 28.30 126 23.38 a. Calculate the following statistics for each stock:...
An index model regression applied to past monthly returns in Ford's stock price produces the following estimates, which are believed to be stable over time: rf = 0.10% + 1.1rm If the market index subsequently rises by 8% and Ford's stock price rises by 7%, what is the abnormal change in Ford's stock price? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 1 decimal place.) Abnormal returnIn a recent closely...
05 i Saved An index model regression applied to past monthly returns in Ford's stock price produces the following estimates, which are believed to be stable over time: F = 0.1% + 1.17M If the market index subsequently rises by 9.2% and Ford's stock price rises by 9%, what is the abnormal change in Ford's stock price? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.) Abnormal reutrn
Consider the two (excess return) index model regression results for A and B. RA = 1.2% + 1.5M R-square = 0.612 Residual standard deviation = 11.5% RB = -1.8% + 0.9RM R-square = 0.476 Residual standard deviation = 9.5% a. Which stock has more firm-specific risk? Stock A Stock B b. Which stock has greater market risk? Stock A Stock B c. For which stock does market movement has a greater fraction of return variability? Stock A Stock B d....
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 4%, and the marker's average return was 11%. Performance is measured using an index model regression on excess returns Index model regression estimates R-square Residual standard deviation, (e) Standard deviation of excess returns Stock A 1% + 1.2M - rf) 2.683 12.15 23.4% Stock 8 2% + 0.8( - rf) 2.49 20.93 28.5% a. Calculate the following statistics for each...
Consider the two (excess return) index-model regression results
for stocks A and B. The risk-free rate over the
period was 7%, and the market’s average return was 14%. Performance
is measured using an index model regression on excess returns.
Consider the two excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns Stock A...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 16%. Performance is measured using an index model regression on excess returns. Stock 18 + 1.2 (ry - rp) 0.677 Index model regression estimates R-square Residual standard deviation, (e) Standard deviation of excess returns Stock B 28 +0.8(IN - rf) 0.487 20.88 28.30 126 23.38 a. Calculate the following statistics for each stock:...
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