Question
Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: R HD .02+0.80R M +e HD R-squared
Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results:
RHD .02+0.80RM+eHD
R-squared .6
RML =-0.03+1.50RM+eML
R-squared .4
M .20
where M is S&P/TSX Comp Index, RX is the excess return of stock X.
- What is the standard deviation of each stock?
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Cases in Finance
Authors: Jim DeMello
3rd edition
1259330476, 1259330478, 9781259352652 , 978-1259330476
