Question
1.Using 61 monthly observations you have just estimated that the covariance between return on stock A and the market index is 0.075 and that the
1.Using 61 monthly observations you have just estimated that the covariance between return on stock A and the market index is 0.075 and that the standard deviation of the market index is 0.25. Also, the standard error of the regression is 0.258795.
(a)what is the beta of stock A?
(b)what is the systematic risk of stock A?
(c)what is the firm-specific risk of stock A?
(d)calculate and interpret the coefficient of determination (R2).
Step by Step Solution
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There are 3 Steps involved in it
Step: 1
To calculate the beta of stock A we use the formula betaA fractextCovarianceRA RMtextVarianceRM Wher...
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
