Question
QUESTION 18 The index model for stocks A and B is estimated from excess returns with the following results: R A = 0.03 + 0.7R
QUESTION 18
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The index model for stocks A and B is estimated from excess returns with the following results:
RA = 0.03 + 0.7RM + eA
RB = -0.02+ 1.2RM + eB
M = 0.2; R-squareA = 0.2; R-squareB = 0.12
Which stock has higher systematic risk?
A. stock A
B. stock B
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Cases In Healthcare Finance
Authors: Louis C. Gapenski, George H. Pink
4th Edition
1567933424, 978-1567933420
