Suppose that the index model for stocks A and B is estimated from excess returns with...
Suppose that the index model for stocks A and B is estimated from excess returns with the following results:
RA = 4.50% + 1.40RM + eA
RB = -2.20% + 1.70RM + eB
σM = 24%; R-squareA = 0.30; R-squareB = 0.20
Assume you create portfolio P with investment proportions of 0.60 in A and 0.40 in B.
a. What is the standard deviation of the
portfolio? (Do not round your intermediate
calculations. Round your answer to 2 decimal
places.)
b. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)
c. What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 decimal places.)
d. What is the covariance between the portfolio and the market index? (Do not round your intermediate calculations. Round your answer to 3 decimal places.)
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Suppose that the index model for stocks A and B is estimated
from excess returns with...
Suppose that the index model for stocks A and B is estimated from excess returns with...
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 2.80% + 1.00RM + eA RB = -1.00% + 1.30RM + eB σM = 18%; R-squareA = 0.27; R-squareB = 0.13 Assume you create portfolio P with investment proportions of 0.70 in A and 0.30 in B. a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)...
Suppose that the index model for stocks A and B is estimated from excess returns with...
Suppose that the index model for stocks A and B is estimated
from excess returns with the following results:
RA = 3.00% + 1.05RM +
eA
RB = -1.20% + 1.20RM +
eB
σM = 29%;
R-squareA = 0.29;
R-squareB = 0.14
Assume you create portfolio P with investment
proportions of 0.60 in A and 0.40 in B.
a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)...
Suppose that the index model for stocks A and B is estimated from excess returns with...
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% + 0.7RM + eB σM = 19%; R-squareA = 0.24; R-squareB = 0.18 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.)
Suppose that the index model for stocks A and B is estimated from excess returns with...
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% + 1.10RM + eB σM = 23%; R-squareA = 0.18; R-squareB = 0.10 Assume you create a portfolio Q, with investment proportions of 0.50 in a risky portfolio P, 0.30 in the market index, and 0.20 in T-bill. Portfolio P is composed of 60% Stock A and 40% Stock B. a....
Suppose that the index model for stocks A and B is estimated from excess returns with...
Suppose that the index model for stocks A and B is
estimated from excess returns with the following results:
RA = 2.5% + 0.95RM + eA
RB = –1.8% + 1.10RM + eB
σM = 27%; R-squareA = 0.23; R-squareB = 0.11
Assume you create a portfolio Q, with investment proportions of
0.50 in a risky portfolio P, 0.30 in the market index, and 0.20 in
T-bill. Portfolio P is composed of 60% Stock A and 40% Stock B.
a....
Suppose that the index model for stocks A and B is estimated from excess returns with...
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...
Problem 8-10 Suppose that the index model for stocks A and B is estimated from excess...
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...
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
Suppose that the index model for stocks A and B is estimated from excess returns with...
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
Problem 8-10 Suppose that the index model for stocks A and B is estimated from excess...
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 = 3.00% + 1.05RM +
eA
RB = -1.20% + 1.20RM +
eB
σM = 29%;
R-squareA = 0.29;
R-squareB = 0.14
Assume you create portfolio P with investment
proportions of 0.60 in A and 0.40 in B.
a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)...
Suppose that the index model for stocks A and B is
estimated from excess returns with the following results:
RA = 2.5% + 0.95RM + eA
RB = –1.8% + 1.10RM + eB
σM = 27%; R-squareA = 0.23; R-squareB = 0.11
Assume you create a portfolio Q, with investment proportions of
0.50 in a risky portfolio P, 0.30 in the market index, and 0.20 in
T-bill. Portfolio P is composed of 60% Stock A and 40% Stock B.
a....
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
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
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...
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