Question
Suppose the index model for stocks X and Y is estimated from excess returns with the following results: Rx = 0.02 + 0.85Rm +ex R-square(x)
Suppose the index model for stocks X and Y is estimated from excess returns with the following results:
Rx = 0.02 + 0.85Rm +ex
R-square(x) = 0.16
Ry = -0.02 + 1.3Rm +ey
R-square(y) = 0.11
The market index has a standard deviation of 0.21.
What is the standard deviation of stock X?
What is the standard deviation of stock Y?
How much is the firm-specific component of the variance of stock X?
How much is the firm-specific component of the variance of stock Y?
What is the covariance between the two stocks?
What is the correlation coefficient between the two stocks?
What is the covariance between stock X and the market index?
What is the covariance between stock Y and the market index?
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The History Of Lloyd S And Of Marine Insurance In Great Britain
Authors: Frederick Martin
1st Edition
1421206269, 978-1421206264
