Based on your analysis of Company ABCs stock returns, rABC, you develop the following OLS regression model:
Question:
Based on your analysis of Company ABC’s stock returns, rABC, you develop the following OLS regression model:
where rA and rB are two uncorrelated indexes, and ε is a mean-zero disturbance term.
If rA = 10% and rB = 50%, what is the expected value of rABC?
Transcribed Image Text:
TABC = 0.01 +1.25rA +0.34rg + E
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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