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  book-img-for-question

Principles Of Finance With Excel

ISBN: 9780190296384

3rd Edition

Authors: Simon Benninga, Tal Mofkadi

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