Question
TheindexmodelhasbeenestimatedforstocksAandBwiththefollowingresults: R A =0.01+0.8R M +e A R B =0.02+1.1R M +e B Thestandarddeviationofthemarketindexis26%;theresidualstandarddeviationoftheerrortermsforstockAis25%;theresidual standarddeviationoftheerrortermsforstockBis18%.WhatisthecovariancebetweenthereturnsonstocksAandB? Enteryouranswerroundedtotwodecimalplaces.Donotenter%intheanswerbox.Forexample,ifyouransweris0.12345or12.345%thenenteras12.35intheanswerbox. Using the data from problem 1, what is your
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TheindexmodelhasbeenestimatedforstocksAandBwiththefollowingresults: RA=0.01+0.8RM+eA RB=0.02+1.1RM+eB
Thestandarddeviationofthemarketindexis26%;theresidualstandarddeviationoftheerrortermsforstockAis25%;theresidualstandarddeviationoftheerrortermsforstockBis18%.WhatisthecovariancebetweenthereturnsonstocksAandB?
Enteryouranswerroundedtotwodecimalplaces.Donotenter%intheanswerbox.Forexample,ifyouransweris0.12345or12.345%thenenteras12.35intheanswerbox.
Using the data from problem 1, what is your best estimate of the total variance of the excess returns on stock A? Enter your answer rounded to two decimal places. Do not enter % in the answer box. For example, if your answer is 0.12345 or 12.345% then enter as 12.35 in the answer box.
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Fundamentals Of Financial Management
Authors: Richard Bulliet, Eugene F Brigham, Brigham/ Houston
11th Edition
1111795207, 9781111795207
