Question
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R A = 2.0% + 0.40
| Suppose that the index model for stocks A and B is estimated from excess returns with the following results: |
| RA = 2.0% + 0.40RM + eA | |
| RB = 1.8% + 0.90RM + eB | |
| M = 15.0%; R-squareA = 0.30; R-squareB = 0.22 |
| What is the covariance between each stock and the market index? |
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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
