Question
The index model for stocks A and B is estimated with the following results R A = .03 + .70RM + eA R B =
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
Break down the variance of each stock to the systematic and firm specific components.
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Financial Informatics An Information Based Approach To Asset Pricing
Authors: Dorje C Brody, Lane Palmer Hughston, Andrea Macrina
1st Edition
9811246483, 978-9811246487
