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6. Suppose the index model for stocks 1 and 2 has the following results The standard...
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% + 0.7 Rm + ea Rs--2% + 1.2 Rm + eb What is the standard deviation for each stock? Break down the variance of each stock to the systematic and firm-specific components What are the covariance and correlation coefficient between the two stocks? What is the covariance between each stock and the market index? Are the intercepts of...
2. Suppose that the index model for stocks A and B is estimated from excess returns...
2. Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R. 396 + 0.7 Rmte, Rs:-2% + 1.2 Rm+eb Ơn® 20%; R-SQRas 0.20;R-SQRb 0.12 What is the standard deviation for each stock? Break down the variance of each stock to the systematic and firm-specific components. What are the covariance and correlation coefficient between the two stocks? What is the covariance between each stock and the market index? Are the intercepts...
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...
1. The universe of available securities includes two risky stock funds, A and B, and T-blls....
1. The universe of available securities includes two risky stock funds, A and B, and T-blls. The data for the universe are as follows Expected Return Standard Deviation A 10% 20% В 30 60 T-bills The correlation coefficient between funds A and B is -0.2. a. Find the optimal risky portfolio, P, and its expected return and standard deviation. b. Find the slope of the CAL supported by T-bills and portfolio P c. How much will an investor with A...
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...
1. The universe of available securities includes two risky stock funds, A and B and T-bills....
1. The universe of available securities includes two risky stock funds, A and B and T-bills. The data for the universe are as follows: Expected Return Standard Deviation 109 20 Tbilis The correlation coefficient between funds A and B is -0.2. a. Find the optimal risky portfolio, P. and its expected return and standard deviation b. Find the slope of the CAL supported by T-bills and portfolio P. c. How much will an investor with 4-5 invest in funds A...
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 = 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...
The index model has been estimated for stocks A and B with the following results. a)...
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.
I need the Firm-specific and the Covariance please Suppose that the index model for stocks A...
I need the Firm-specific and the Covariance please
Suppose that the index model for stocks A and B is returns with the following resi RA - 1.58% .SSR Re -1.403. B.GR O = 18; R-square -8.25 Assume you create portfolio Pwith 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 places.) Answer is complete and correct 17.58 b. What is...
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: Ra : 3% + 0.7 Rm + ea Rs--2% + 1.2 Rm + eb What is the standard deviation for each stock? Break down the variance of each stock to the systematic and firm-specific components What are the covariance and correlation coefficient between the two stocks? What is the covariance between each stock and the market index? Are the intercepts of...
2. Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R. 396 + 0.7 Rmte, Rs:-2% + 1.2 Rm+eb Ơn® 20%; R-SQRas 0.20;R-SQRb 0.12 What is the standard deviation for each stock? Break down the variance of each stock to the systematic and firm-specific components. What are the covariance and correlation coefficient between the two stocks? What is the covariance between each stock and the market index? Are the intercepts...
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...
1. The universe of available securities includes two risky stock funds, A and B, and T-blls. The data for the universe are as follows Expected Return Standard Deviation A 10% 20% В 30 60 T-bills The correlation coefficient between funds A and B is -0.2. a. Find the optimal risky portfolio, P, and its expected return and standard deviation. b. Find the slope of the CAL supported by T-bills and portfolio P c. How much will an investor with 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...
1. The universe of available securities includes two risky stock funds, A and B and T-bills. The data for the universe are as follows: Expected Return Standard Deviation 109 20 Tbilis The correlation coefficient between funds A and B is -0.2. a. Find the optimal risky portfolio, P. and its expected return and standard deviation b. Find the slope of the CAL supported by T-bills and portfolio P. c. How much will an investor with 4-5 invest in funds A...
I need the Firm-specific and the Covariance please
Suppose that the index model for stocks A and B is returns with the following resi RA - 1.58% .SSR Re -1.403. B.GR O = 18; R-square -8.25 Assume you create portfolio Pwith 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 places.) Answer is complete and correct 17.58 b. What is...
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