05 i Saved An index model regression applied to past monthly returns in Ford's stock price...

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Question

05 i Saved An index model regression applied to past monthly returns in Fords stock price produces the following estimates,

Answer 1

Answer #1

The return on the market = 9.2%

So, Forecast monthly return for ford = 0.1% + (1.1 * 9.2%) = 0.1% + 10.12% = 10.22%

Ford's Actual Return = 9%

So, Abnormal Return = Actual Return - Forecasted Return = 9% - 10.22% = -1.22%

Answer 2

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