2. The template for this exercise gives price information and market cap for 10 companies. Compute the
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2. The template for this exercise gives price information and market cap for 10 companies. Compute the stock returns and the individual regressions of returns on the S&P 500. Use this data to construct a value- weighted portfolio.
Show that the R2 of the regression of this portfolio’s returns on the S&P 500 is greater than the value- weighted average R2 of the individual stocks.
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Related Book For
Principles Of Finance With Excel
ISBN: 9780190296384
3rd Edition
Authors: Simon Benninga, Tal Mofkadi
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