Question
You run a regression of Nvidia Corporation's (NVDA) excess stock return on the S&P 500 excess return and obtain a slope coefficient (beta) of 1.38.
You run a regression of Nvidia Corporation's (NVDA) excess stock return on the S&P 500 excess return and obtain a slope coefficient (beta) of 1.38. If NVDA's annual volatility is 40% and the S&P 500 annual volatility is 17%, what fraction of NVDA's total variance is idiosyncratic, according to the CAPM?
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Statistics For Psychology
Authors: Arthur Aron, Elaine N. Aron, Elliot J. Coups
6th Edition
205258158, 978-0205258154
