Question
The index model has been estimated for stocks A and B with the following results: R A = 0.02 + 0.9 R M + e
The index model has been estimated for stocks A and B with the following results:
RA = 0.02 + 0.9RM + eA.
RB = 0.01 + 1.1RM + eB.
M = 0.20; (eA) = 0.25; (eB) = 0.10.
The covariance between the returns on stocks A and B is
| A. | 0.0396 | |
| B. | 0.0336 | |
| C. | 0.0619 | |
| D. | 0.0099 | |
| E. | 0.1980 |
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Portfolio Performance Measurement And Benchmarking
Authors: Jon Christopherson, David Carino, Wayne Ferson
1st Edition
0071496653, 978-0071496650
