D Question 7 1 pts Stock ABC had an earnings announcement at t=0. The ABC returns around the announcement date are R_(-2)=-1.4 %, R_{-1}=1.08\%, R_{0}=7.4\%, R_{1}=-1.6\%, R_{2}=-0.8\%. According to an event study, this amounted to a CAR of -1.88% relative to the benchmark over the time interval (-2,2). What was the cumulative return of the benchmark over the same period (net return in percent)? Express your answer in percentage points. That is, if your answer is -5.18%, then enter it as -5.18; if your answer is 9.46%, then enter it as 9.46. Question 8 1 pts Your friend Maria's current investment consists solely of \$13000 invested in HD stock. You advise Maria that you can help her achieve the same expected return for a lower level of risk by diversifying. Specifically, you propose that she forms a portfolio combining the HD stock with the YMH stock and the risk-free asset. Suppose that the risk-free rate is 2\%, the HD stock has expected return of 24.56% and volatility 48\%. Moreover, the tangent portfolio of the HD-YMH portfolio frontier has expected return 28.56% and Sharpe ratio equal to 0.52. Maria is convinced and decides to form a complete portfolio, by combining the tangent portfolio and the risk-free asset, that matches the expected return of the HD stock. What is the volatility of this complete portfolio? O 41.22% 40.35 % 48.16% O 43.38 % D Question 7 1 pts Stock ABC had an earnings announcement at t=0. The ABC returns around the announcement date are R_(-2)=-1.4 %, R_{-1}=1.08\%, R_{0}=7.4\%, R_{1}=-1.6\%, R_{2}=-0.8\%. According to an event study, this amounted to a CAR of -1.88% relative to the benchmark over the time interval (-2,2). What was the cumulative return of the benchmark over the same period (net return in percent)? Express your answer in percentage points. That is, if your answer is -5.18%, then enter it as -5.18; if your answer is 9.46%, then enter it as 9.46. Question 8 1 pts Your friend Maria's current investment consists solely of \$13000 invested in HD stock. You advise Maria that you can help her achieve the same expected return for a lower level of risk by diversifying. Specifically, you propose that she forms a portfolio combining the HD stock with the YMH stock and the risk-free asset. Suppose that the risk-free rate is 2\%, the HD stock has expected return of 24.56% and volatility 48\%. Moreover, the tangent portfolio of the HD-YMH portfolio frontier has expected return 28.56% and Sharpe ratio equal to 0.52. Maria is convinced and decides to form a complete portfolio, by combining the tangent portfolio and the risk-free asset, that matches the expected return of the HD stock. What is the volatility of this complete portfolio? O 41.22% 40.35 % 48.16% O 43.38 %
