Question
A stock has a return of 16.9 percent, a standard deviation of 11.7 percent, and a beta of 1.50. The risk-free rate is 2.65 percent
A stock has a return of 16.9 percent, a standard deviation of 11.7 percent, and a beta of 1.50. The risk-free rate is 2.65 percent and the market risk premium is 8.45 percent. What is the Jensen-Treynor alpha of this stock?
| -1.37 percent | ||
| -1.09 percent | ||
| -0.48 percent | ||
| 0.89 percent | ||
| 1.05 percent |
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The Making Of Finance
Authors: Isabelle Chambost, Marc Lenglet, Yamina Tadjeddine
1st Edition
1138498572, 978-1138498570
