Question
Imagine you wish to estimate the betas for two investments, A and B. You have gathered the following return data for the market and for
Imagine you wish to estimate the betas for two investments, A and B. You have gathered the following return data for the market and for each of the investments over the past 10 years, 20082017.
a. On a set of market return (x-axis)investment return (y-axis) axes, use the data to draw the characteristic lines for investments A and B on the same set of axes.
b. Use the characteristic lines from part a to estimate the betas for investments A and B. a. The equation of the line for asset A is yA=nothingxMarket+nothing. (Round to two decimal places.)
Historical Returns |
| |||||
Investment | ||||||
Year | Market | A | B | |||
2008 | 5.7% | 11.8% | 15.4% | |||
2009 | 2.9% | 7.1% | 9.7% | |||
2010 | 13.4% | 3.4% | 9.8% | |||
2011 | 3.6% | 2.7% | 3.5% | |||
2012 | 8.8% | 0.4% | 3.3% | |||
2013 | 16.3% | 18.6% | 29.3% | |||
2014 | 10.7% | 13.1% | 21.5% | |||
2015 | 14.3% | 17.7% | 29.7% | |||
2016 | 7.7% | 12.8% | 18.4% | |||
2017 | 12.4% | 16.5% | 26.4% |
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