Question
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R A = 4% + 1.40
| Suppose that the index model for stocks A and B is estimated from excess returns with the following results: |
| RA = 4% + 1.40RM + eA | |
| RB = 2.2% + 1.70RM + eB | |
| M = 24%; R-squareA = 0.30; R-squareB = 0.20 |
| 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.) |
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International Corporate Finance
Authors: Mark R. Eaker, Frank J. Fabozzi, Dwight Grant
1st Edition
0030693063, 9780030693069
