Question
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R A = 2% + 0.70
Suppose that the index model for stocks A and B is estimated from excess returns with the following results:
| RA = 2% + 0.70RM + eA | |
| RB = 1.8% + 0.90RM + eB | |
| M = 22%; R-squareA = 0.20; R-squareB = 0.15 |
| What are the covariance and correlation coefficient between the two stocks? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answers to 4 decimal places.) |
| Covariance | |
| Correlation coefficient | |
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Ecological Money And Finance
Authors: Thomas Lagoarde-Segot
1st Edition
3031142314, 978-3031142314
