Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

You are assigned to evaluate the performance of the NNB stock. You collect the past data on the risk-free assets, the stock, and the market

You are assigned to evaluate the performance of the NNB stock. You collect the past data on the risk-free assets, the stock, and the market index. You use the excess returns of the stock and the market index to run the regression. The regression yields an intercept, equal to .07 and a beta equal to 1.2. The standard error of the alpha is .02. The average returns for the risk-free asset, the stock, and the market index are .05, .15, and .10 respectively. The standard deviations (based on excess returns) for the stock and the market index are .20 and .30 respectively. What should your conclusion be on the stocks performance based on Treynor measure?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

How To Value Buy Or Sell A Financial Advisory Practice

Authors: Mark C. Tibergien, Owen Dahl

1st Edition

1576601749, 978-1576601747

Students also viewed these Finance questions

Question

How can we increase the COP of a Carnot refrigerator?

Answered: 1 week ago

Question

(f) Give the output of the following C++ function. cout

Answered: 1 week ago

Question

A 300N F 30% d 2 m Answered: 1 week ago

Answered: 1 week ago