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 A | Risk for B | |
| Systematic | 1089 | 1406.25 |
| Firm-specific | ||
****not sure if those are correct im a little confused on the decimal form
Homework Answers
Add Answer to:
Problem 8-10
Suppose that the index model for stocks A and
B is estimated from excess...
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.)
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...
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...
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 = 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% + 0.60RM + 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...
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 = 2.80% + 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 = 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.)...
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
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 = 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 = 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...
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 - 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
Most questions answered within 3 hours.
-
Do you believe that some things that fall into the category of
“pseudoscience” are worth believing...
asked 22 minutes ago -
A 0.100-kg, 59.6-cm-long uniform bar has a small 0.070-kg mass
glued to its left end and...
asked 14 minutes ago -
Direct Labor Variances
The following data relate to labor cost for production of 4,600
cellular telephones:...
asked 28 minutes ago -
On July 27, 2018, shareholders of the Walt Disney Company and
21st Century Fox agreed to...
asked 6 minutes ago -
Write a brief response, 30-90-words, for each question below. 1.
In your own words, define “Auditing.”...
asked 11 minutes ago -
Water flows through a 8-foot wide and 4-foot tall rectangular
channel. If the desired flow rate...
asked 18 minutes ago -
Cruz Video Center accumulates the following cost and net
realizable data at December 31.
Cameras $14,700...
asked 22 minutes ago -
1. Describe the differences between management in the nonprofit
sector and management in other sectors. How...
asked 29 minutes ago -
Identify the location of the following corresponding operand if
the address field in an instruction contains...
asked 30 minutes ago -
A new battery's voltage may be acceptable (A) or unacceptable
(U). A certain flashlight requires two...
asked 33 minutes ago -
Water has significant IMF, which result in many of its unique
properties—high boiling point relative to...
asked 52 minutes ago -
I need help with an executive summary for Adidas Items to be
included are a discription...
asked 45 minutes ago