Question
HELLO The index model has been estimated for stocks A and B with the following results: R A = 0.01 + 0.8R M + e
HELLO
The index model has been estimated for stocks A and B with the following results: RA= 0.01 + 0.8RM+ eA RB= 0.02 + 1.1RM+ eB
The standard deviation of the market index is 26%; the residual standard deviation of the error terms for stock A is 25%; the residual
standard deviation of the error terms for stock B is 18%. What is the covariance between the returns on stocks A and B?
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Financial Management Theory And Practice
Authors: Eugene Brigham, Michael Ehrhardt, Jerome Gessaroli, Richard Nason
3rd Canadian Edition
017658305X, 978-0176583057
