Question
10) The index model has been estimated for stocks A and B with the following results: RA = 0.01 + 0.8RM + eA RB =
10) The index model has been estimated for stocks A and B with the following results:
RA = 0.01 + 0.8RM + eA
RB = 0.02 + 1.1RM + eB
M = 0.30 (eA) = 0.20 (eB) = 0.10
The covariance between the returns on stocks A and B is ___________.
A. 0.0384
B. 0.0406
C. 0.1920
D. 0.0050
E. 0.0792
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Smith and Roberson Business Law
Authors: Richard A. Mann, Barry S. Roberts
15th Edition
1285141903, 1285141903, 9781285141909, 978-0538473637
