Additional Problem 8-4 The index model has been estimated for stocks A and B with the...
The index model has been estimated for stocks A and B with the following results: RA 0.12 +0.610 RM+eA RB 0.04 1.416 RM+ eB OM-0.270 O(eA) 0.20 O(eB) 0.10 What is the correlation coefficient between the two stocks? (Round your answer to 4 decimal places.) Correlation coefficient
The index model has been estimated for stocks A and B with the following results: RA= 0.12 +0.650RM + EA RB=0.04 + 1.480 RM+ eB OM=0.310 Olex) = 0.20 Oleg) = 0.10 What is the covariance between each stock and the market index? (Round your answers decimal places.) Stock A covariance Stock B covariance
The index model has been estimated for stocks A and B with the following results: RA = 0.01 + 0.8RM + eA. RB = 0.02 + 1.1RM + eB. σM = 0.30 σ(eA) = 0.20 σ(eB) = 0.10. The covariance between the returns on stocks A and B is Select one: a. 0.0384. b. 0.0406. c. 0.1920. d. 0.0050. e. 0.0792.
The index model has been estimated for stocks A and B with the following results. a) What is the covariance between returns on stocks A and B? b) What is the standard deviation of stock A? RA= 0.05 + 0.45 * RM + eA RB = 0.06 + 0.77 * RM + eB σM = 0.32; σeA = 0.2; σeB = 0.1. Please show work and round the answers to 4 decimal places.
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA - 1.6% + 0.70RM + eA RB = -1.8% + 0.9RM + eB OM - 227; R-square A = 0.20; R-squares - 0.15 What is the covariance between each stock and the market index? (Calculate using numbers in decimal form, not percentages. Do not round your intermediate calculations. Round your answers to 3 decimal places.) Covariance Stock A Stock B
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA - 1.8% + 0.75RM + EA RB = -2.0% + 1.1RM + eB OM - 23%; R-squareA - 0.18; R-squares - 0.10 What is the standard deviation of each stock? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Standard Deviation Stock A Stock B
Problem 8-10 Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3.2% + 1.1RM + eA RB = –1.4% + 1.25RM + eB σM = 30%; R-squareA = 0.28; R-squareB = 0.12 Break down the variance of each stock to the systematic and firm-specific components. (Do not round intermediate calculations. Calculate using numbers in decimal form, not percentages. Round your answers to 4 decimal places.) Risk for...
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 2.5% + 0.60RM + EA RB = -1.5% + 0.7 RM + EB OM = 19%; R-square A = 0.24; R-squares = 0.18 Break down the variance of each stock to the systematic and firm-specific components. (Do not round intermediate calculations. Calculate using numbers in decimal form, not percentages. Round your answers to 4 decimal places.) Risk for A...
Problem 8-10 Suppose that the index model for stocks A and B is estimated from excess returns with the following results: ERA = 2.0% + 0.40RM + eA RB = -1.8% + 0.9RM + eB OM = 15%; R-squarea = 0.30; R-squares = 0.22 Break down the variance of each stock to the systematic and firm-specific components. (Do not round intermediate calculations. Calculate using numbers in decimal form, not percentages. Round your answers to 4 decimal places.) Risk for A...
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3% + 0.7RM + eA & RB = –2% + 1.2RM + eB σM = 20%; R-squareA = 0.20; R-squareB = 0.12 Assume you create portfolio P with investment proportions of 0.60 in A and 0.40 in B. 1. What is the standard deviation of the portfolio? 2. What is the beta of your portfolio? 3. What is the...