Question
Problem 8-11 Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R A = 4%
Problem 8-11
| Suppose that the index model for stocks A and B is estimated from excess returns with the following results: |
| RA = 4% + 0.50RM + eA | |
| RB = 1.2% + 0.70RM + eB | |
| M = 17%; R-squareA = 0.26; R-squareB = 0.18 |
| What are the covariance and correlation coefficient between the two stocks? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answers to 4 decimal places.) |
| Covariance 101.15 | |
| Correlation coefficient | |
|
****not sure if covariance is right. confused on decimal place(answer is supposed to be in 4 places) | |
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Finance Bundling And Finance Transformation
Authors: Frank Keuper, Kai-Eberhard Lueg
1st Edition
3658042109, 978-3658042103
