Question
The outcome of a regression of the excess returns on IBM on the excess return on the market is as follows: beta = 1.8, R^2=80%.
The outcome of a regression of the excess returns on IBM on the excess return on the market is as follows: beta = 1.8, R^2=80%.
If the market's volatility is 15%, what must be the idiosyncratic volatility of IBM?
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Essentials Of Investments
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
12th Edition
1260772160, 978-1260772166
