Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

You have run a regression of returns of Devonex, a machine tool manufacturer, against the S&P 500 Index using monthly returns over the last 5

You have run a regression of returns of Devonex, a machine tool manufacturer, against

the S&P 500 Index using monthly returns over the last 5 years and arrived at the following

regression:

ReturnDevonex = - 0.20% + 1.50 ReturnS&P 500

If the stock had a Jensens alpha of +0.10% (on a monthly basis) over this period, estimate

the monthly riskfree rate during the last 5 years.

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_2

Step: 3

blur-text-image_3

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

International Financial Reporting A Practical Guide

Authors: Alan Melville

6th edition

1292200743, 1292200766, 9781292200767, 978-1292200743

More Books

Students also viewed these Finance questions