Question
1.Calculate thealphaandbetasfromthesingle-factorCAPMmodelandtheCremers,Petajisto, Zitzewitz (2010) multifactor model below: R FundMultiFactorBenchmark = R risk-free + LargeCap,Fund (R SP500 - R risk-free ) + RMidcap,Fund (R RMidcap -
1.Calculate thealphaandbetasfromthesingle-factorCAPMmodelandtheCremers,Petajisto, Zitzewitz (2010) multifactor model below:
RFundMultiFactorBenchmark = Rrisk-free + LargeCap,Fund (RSP500 - Rrisk-free) + RMidcap,Fund (RRMidcap - RSP500)+ SmallCap,Fund (RR2K - RRMidcap) +ValueVSGrowth,Fund (RR3KV - RR3KG)
2.Are the betas consistentwiththeinformationincaseExhibits10through14?How doyou interpret the alphas from these models?
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Personal Financial Planning
Authors: Randy Billingsley, Lawrence J. Gitman, Michael D. Joehnk
14th edition
978-1305887725, 1305887727, 1305636619, 978-1305636613
