Question
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R A = 2.8% + 1.00
Suppose that the index model for stocks A and B is estimated from excess returns with the following results:
RA = 2.8% + 1.00RM + eA
RB = 1.0% + 1.30RM + eB
M = 18%; R-squareA = 0.27; R-squareB = 0.13
What are the covariance and correlation coefficient between the two stocks? (Do not round intermediate calculations. Calculate using numbers in decimal form, not percentages. Round your answers to 4 decimal places.)
covariance =
correlation coefficient =
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The Essentials Of Machine Learning In Finance And Accounting
Authors: Mohammad Zoynul Abedin, M. Kabir Hassan, Petr Hajek, Mohammed Mohi Uddin
1st Edition
0367480816, 978-0367480813
