Question
The single-index model for stock A is estimated from excess returns. That is, both R A and R M are excess returns in excess of
The single-index model for stock A is estimated from excess returns. That is, both RA and RM are excess returns in excess of the risk-free rate. The parameter estimates are
A=3%, A=1.200002, R-square = 0.6, M=24%. If the market portfolio has a Sharpe ratio of 0.5. What is the Sharpe ratio of stock A? keep 4 decimal places.
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Analysis For Financial Management
Authors: Robert C. Higgins
10th International Edition
007108648X, 9780071086486
