Question
Suppose that the single index model for stock A is estimated from excess returns (in excess of the risk-free rate). That is, both R A
Suppose that the single index model for stock A is estimated from excess returns (in excess of the risk-free rate). That is, both RA and RM are excess returns in excess of the risk-free rate.
The parameter estimates are A = - 2.3%, A = 1.2, R-square = 0.7, M=22%. If the CAPM is valid, are these estimation results possible?
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Personal Finance
Authors: Jack Kapoor
6th Edition
0072350849, 9780072350845
