Question
You regress the annual excess return of a stock on the excess returns of the market portfolio. During the sample period, the excess return of
You regress the annual excess return of a stock on the excess returns of the market portfolio. During the sample period, the excess return of the market portfolio had an average of 6% and a standard deviation of 17%. The T-Bill rate is 2%.
coefficients t-stat
Intercept 0.0201 3.41
rM - rf 0.7419 6.12
- Does the stock have a statistically significant CAPM alpha?
- What is the 95% confidence interval for the CAPM beta of ABC?
- If we invest $2,000 in the stock, $5,000 in the market portfolio and $3,000 in Treasury Bills, what is the CAPM alpha of that portfolio? What is the market beta of that portfolio?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Financial Management Principles and Applications
Authors: Sheridan Titman, Arthur J. Keown, John H. Martin
13th edition
134417216, 978-0134417509, 013441750X, 978-0134417219
