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16. Suppose we have the following regression on fund A and B RP-RF RM-RF RA - RF Prob value 0,2 + 1,5 (RM - Rp)
16. Suppose we have the following regression on fund A and B RP-RF RM-RF RA - RF Prob value 0,2 + 1,5 (RM - Rp) + 0,93 (RM - Rp)2 + e (0.01) (0.01) (0.23) RB-RF Prob value 0,4 + 1,5 (RM-RF) + 1,5 (RM -RF)2 + e (0.21) (0.01) (0.01) a. Which one has a better selection ability? A or B? b. Which one has timing ability? A or B
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