Question
the excess return of the market portfolio had an average of 6% and a standard deviation of 17%. The T-Bill rate is 2%. Coefficients t-stat
the excess return of the market portfolio had an average of 6% and a standard deviation of 17%. The T-Bill rate is 2%.
Coefficients t-stat
Intercept 0.0201 3.41
rM - rf 0.7419 6.12
- is the CAPM alpha statistically significant
- What is the 95% confidence interval for the CAPM beta
- If we invest $2,000 in the stock, $5,000 in the market portfolio and $3,000 in Treasury Bills, what is the CAPM alpha of that portfolio? What is the market beta of that portfolio?
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
13th edition
978-1285027371, 128502737X, 978-1133541141
