Question
1.Suppose that the index model for the excess returns of stock A and B is estimated with the following results: R A = 0.8% +
1.Suppose that the index model for the excess returns of stock A and B is estimated with the following results:
RA = 0.8% + 0.8 RM + eA
RB = -1.8% + 1.2 RM + eB
M = 20%
(eA)= 25%
(eB)= 13%
Find the standard deviation of each stock and the covariance between them.
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Smith and Roberson Business Law
Authors: Richard A. Mann, Barry S. Roberts
15th Edition
978-0538473637
