Question
Stock A pays no dividend has a CAPM beta of 0.5; the variance of its excess return is 0.06; and the variance of the stock
Stock A pays no dividend has a CAPM beta of 0.5; the variance of its excess return is 0.06; and the variance of the stock market excess return is 0.3. What share of stock As variance in excess return is idiosyncratic? Show calculation.
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High Frequency Financial Econometrics
Authors: Yacine Aït Sahalia, Jean Jacod
1st Edition
0691161437, 978-0691161433
