Question
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3.5% + 0.65RM +
Suppose that the index model for stocks A and B is estimated from excess returns with the following results:
RA = 3.5% + 0.65RM + eA
RB = -1.6% + 0.8RM + eB
M = 21%; R-squareA = 0.22; R-squareB = 0.14
What is the covariance between each stock and the market index?
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Foundations Of Financial Management
Authors: Stanley Block
8th Canadian Edition
0070965447, 9780070965447
