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Suppose that the index model for stocks A and B is estimatedfrom excess returns with the following results:RA = 3.60% + 1.20RM +eARB = -1.60%
Suppose that the index model for stocks A and B is estimatedfrom excess returns with the following results:RA = 3.60% + 1.20RM +eARB = -1.60% + 1.50RM +eB?M = 16%;R-squareA = 0.25;R-squareB 2 answers
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Derivatives Markets
Authors: Rober L. Macdonald
4th edition
321543084, 978-0321543080
