a. According to Table 13.1, what is the predicted value of the return on a highly diversified
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a. According to Table 13.1, what is the predicted value of the return on a highly diversified zero-beta portfolio for the period 1946–1955? What would the CAPM have predicted for that value? What would the CAPM have predicted for the average values of γ1 and γ3 in that period?
b. What would you conclude if you performed the Fama and MacBeth tests and found that the coefficients on β2 and σ (e) were positive?
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a According to Equation 134 0 is the average excess return earned on a stock with zero beta and zero ...View the full answer
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ISE Investments
ISBN: 9781260571158
12th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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