11 Suppose that you had estimated CAPM and found that the estimated value of beta for your...
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11 Suppose that you had estimated CAPM and found that the estimated value of beta for your stock, βˆ, was 1.150. The standard error associated with this coefficient SE(βˆ) is estimated to be 0.055. Your sample size was T = 65 data points. A financial analyst told you that this security closely follows the market, but that it is no more risky, on average, than the market.
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