Question
The index model has been estimated for stocks A and B with the following results: R A = 0.01 + 0.8 R M + e
The index model has been estimated for stocks A and B with the following results:
RA = 0.01 + 0.8RM + eA. RB = 0.02 + 1.2RM + eB. M = 0.30; (eA) = 0.20; (eB) = 0.10.
The covariance between the returns on stocks A and B is
0.0050.
0.086.
0.1920.
0.0384.
0.4000.
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Handbook Of Consumer Finance Research
Authors: Jing J. Xiao
1st Edition
1441926046, 978-1441926043
