Question
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R A = 2.5% + 0.95
| Suppose that the index model for stocks A and B is estimated from excess returns with the following results: |
| RA = 2.5% + 0.95RM + eA | |
| RB = 1.8% + 1.1RM + eB | |
| M = 27%; R-squareA = 0.23; R-squareB = 0.11 |
| What is the standard deviation of each stock? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places, without the percent sign. (e.g., 12.34)) |
| Standard Deviation | |
| Stock A | % |
| Stock B | % |
|
| |
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Quantitative Analysis For Management
Authors: Barry Render, Ralph M. Stair, Michael E. Hanna, Trevor S. Hale
14th Edition
0137943601, 9780137943609
