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Charlie Christian has been laid up in bed with what might be the flu, but that has given him some time to read up on
Charlie Christian has been laid up in bed with what might be the flu, but that has given him some time to read up on the markets, which are actually pretty cool. He has the following estimates of betas for 5 portfolios. These portfolios vary according to the historical book to market ratio. In particular, stocks in portfolio P1 had the lowest book to market ratio and stocks in P5 have the highest book to market ratio at the end of last year. Over the next month, the realized return of the market was 1.0%, the realized return on the risk free asset was 0.40%, and the realized returns on the book to market portfolios varied from 0.94% to 1.52%. Data on the betas and realized returns are in the following table
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