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P 5-02 This is complete problem no other information is provided Compute the abnormal rates of return for the following stocks assuming the following systematic
P 5-02
This is complete problem no other information is provided
Compute the abnormal rates of return for the following stocks assuming the following systematic risk measures (betas):
Stock | Rit | Rmt | i | |||
B | 11.0 | % | 4.8 | % | 0.95 | |
F | 9.7 | 8.2 | 1.20 | |||
T | 12.5 | 5.8 | 1.20 | |||
C | 12.3 | 15.0 | 0.70 | |||
E | 15.8 | 11.3 | -0.20 |
Rit = return for stock i during period t Rmt = return for the aggregate market during period t i = beta for stock i
Use a minus sign to enter negative values, if any. Round your answers to one decimal place.
ARBt: %
ARFt: %
ARTt: %
ARCt: %
AREt: %
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