Question
Determine the beta and the expected return of the shares of the EXAMPLE company knowing that the covariance between the returns of the company and
Determine the beta and the expected return of the shares of the EXAMPLE company knowing that the covariance between the returns of the company and the IGBM is 0.0089, the standard deviation of the company is 18%, and the standard deviation of the market index (IGBM) is 27%. We also know that the yield on treasury bills is 3.2%, and the expected market risk premium is 8%.
Beta=
CAPM=
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Business Forecasting
Authors: John E. Hanke, Dean Wichern
9th edition
132301202, 978-0132301206
