Question
Use the following information to answer the next two questions You run a regression of weekly returns of Suncor Energy Inc. on the S&P/TSX Composite
Use the following information to answer the next two questions
You run a regression of weekly returns of Suncor Energy Inc. on the S&P/TSX Composite Index and come up with the following output for the period 2011-2015.
RSun=0.25%+0.75RSP/TSX R2=85% (Standard error=0.1)
The annual risk-free rate is 5%.
Estimate the annual Jensen alpha for this stock
a 0.1248
b 0.0239
c 0.5146
d 0.3870
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Business Forecasting
Authors: John E. Hanke, Dean Wichern
9th edition
132301202, 978-0132301206
