Question
The index model for stocks A and B is estimated with the following results RA = .03 + .70RM + eA RB = .02 +
The index model for stocks A and B is estimated with the following results
RA = .03 + .70RM + eA
RB = .02 + 1.2 RM + eB
M = .20; RA-square = .20; RB-square = .12
1) What is the standard deviation of each stock?
2) Break down the variance of each stock to the systematic and firm-specific components.
3) Suppose a portfolio P invests in A and B, and the weights of A and B are 60 and 40 percent respectively. Find the beta for the portfolio.
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Real Estate Development Principles And Process
Authors: Mike E. Miles, Laurence M. Netherton, Adrienne Schmitz
5th Edition
0874203430, 978-0874203431
