Question
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 1.6% + 0.70RM +
Suppose that the index model for stocks A and B is estimated from excess returns with the following results:
RA = 1.6% + 0.70RM + eA
RB = 1.8% + 0.9RM + eB
M = 22%; R-squareA = 0.20;
R-squareB = 0.15 What is the standard deviation of each stock?
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Computational Techniques In Economics And Finance
Authors: Constantin Zopounidis
1st Edition
1613245580, 978-1613245583
