Question
Give the following true population SIM (not estimated SIM): R i - R f =0.1%+1.2( R b - R f )+ i When estimating
Give the following true population SIM (not estimated SIM):
Ri-Rf=0.1%+1.2(Rb-Rf)+ϵi
When estimating this true SIM, what will be the estimated value of alpha (the intercept), when the variance of ϵi is small? Theriskless rate
is 0% and the market risk premium is 0.5%. Your answer should be in percentage points.
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Basic Econometrics
Authors: Damodar N. Gujrati, Dawn C. Porter
5th edition
73375772, 73375779, 978-0073375779
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