In this assignment, you are to estimate a security market line. You have current information about beta
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In this assignment, you are to estimate a security market line. You have current information about beta and expected annual return on 5 assets, as given in the following table:
Beta | Expected return |
0.3 | 0.028 |
0.65 | 0.04 |
0.78 | 0.052 |
1.25 | 0.08 |
1.5 | 0.12 |
(Note that expected return is a decimal, so the first asset has an expected return of 2.8%.)
a. Look up the current return on one-year Treasury bills/notes as your risk-free rate.
b. Given the current risk-free rate, does the regression estimate of your risk-free rate match the actual current risk-free rate? Use confidence intervals to help answer this question.
Related Book For
Operations Management Creating Value Along the Supply Chain
ISBN: 978-0470525906
7th Edition
Authors: Roberta S. Russell, Bernard W. Taylor
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