Question
Question 7 A regression of ABC stocks monthly returns against the return on the S&P500 Index gives an = 0.5% and = 1.2. Given that
Question 7 A regression of ABC stocks monthly returns against the return on the S&P500 Index gives an = 0.5% and = 1.2. Given that ABC stock rises by 5% during a period when the S&P500 rose by 2.25%, calculate the abnormal return on ABC stock.
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Quantum Economics And Finance
Authors: David Orrell
3rd Edition
1916081630, 978-1916081635
