Question
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 1.6% + 0.70RM +
Suppose that the index model for stocks A and B is estimated from excess returns with the following results:
RA = 1.6% + 0.70RM + eA RB = 1.8% + 0.9RM + eB M = 22%; R-squareA = 0.20; R-squareB = 0.15 What is the standard deviation of each stock?
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The Handbook Of Energy Trading
Authors: Stefano Fiorenzani, Samuele Ravelli, Enrico Edoli
1st Edition
1119953693, 978-1119953692
