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MARKET STOCK A STOCK B STOCK C STOCK D STOCK E Actual Returns -0.04710459 0.81653188 -0.167059851 -0.04756711 -0.013164607 0.83602878 Expected Returns 0.403023% -1.379788% 2.9217015% 2.4603825%
| MARKET | STOCK A | STOCK B | STOCK C | STOCK D | STOCK E | ||
| Actual Returns | -0.04710459 | 0.81653188 | -0.167059851 | -0.04756711 | -0.013164607 | 0.83602878 | |
| Expected Returns | 0.403023% | -1.379788% | 2.9217015% | 2.4603825% | 2.2094091% | ||
| Beta | 0.303383841 | 0.546258482 | -0.03973887 | 0.023107204 | 0.05729763 | ||
| rf= | 2.63% | ||||||
Plot the 5 stocks on SML and determine the undervalued and overvalued securities.
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Investment Science
Authors: David G. Luenberger
1st International Edition
0195391063, 9780195391060
