Assume that you have estimated the following (market) model for a stock x: R = 0.05% +
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Assume that you have estimated the following (market) model for a stock x:
R = 0.05% + 1.1 R x m where R x and R m are the stock’s and market’s excess returns, respectively. If the market happens to advance by 2% during a given day and the stock’s return rose by 1% during the same day, what would be the stock’s predicted and abnormal return?
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Related Book For
Understanding Investments Theories And Strategies
ISBN: 9780367461904
2nd Edition
Authors: Nikiforos T. Laopodis
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