Question
Consider the two (excess return) index model regression results for A and B: RA = 1.2% + 1.6RM R-square = 0.676 Residual standard deviation =
Consider the two (excess return) index model regression results for A and B: RA = 1.2% + 1.6RM R-square = 0.676 Residual standard deviation = 13.8% RB = 0.5% + 1.3RM R-square = 0.574 Residual standard deviation = 12.4%.
If rf were constant at 7% and the regression had been run using total rather than excess returns, what would have been the regression intercept for stock A?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Project Finance In Theory And Practice
Authors: Stefano Gatti
3rd Edition
0128114010, 978-0128114018
