Cov (Ra, Rm) = Ba x m ^2 =
0.55 X (0.18)^2 = 0.018
Cov (Ra, Rm) = Bb x
b^2 = 0.6 X
(0.18)^2 = 0.019
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
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 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 = 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 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....
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...
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: • PA RA - 2.68 +0.90R - 2.00 +1.2 Oy - 266; quare - 0.211 quare - 0.12 What is the standard deviation of each stock? (Do not round Intermediate calculations. Round your answers to 2 decimal places.) Standard Deviation Stook 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
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA - 1.6% + 0.70RM + A Rg = -1.8% + 0.9RM + eB OM - 22%; R-squareA - 0.20; R-squares - 0.15 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