Stocks A and B are a part of the S&P500 value-weighted index (represented as M). The...
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Stocks A and B are a part of the S&P500 value-weighted index (represented as M). The Sharpe ratio of the index is 0.43. Applying the single-index model (SIM) to the returns on the stocks in the index, you obtain the following results for stocks A and B: RA RB = 0.015 +2.35RM + eA = 0.032 +1.25RM + eB What is the R² of stock A? o(eA) = 0.33 o(eg) = 0.25 OM = 0.20 Stocks A and B are a part of the S&P500 value-weighted index (represented as M). The Sharpe ratio of the index is 0.43. Applying the single-index model (SIM) to the returns on the stocks in the index, you obtain the following results for stocks A and B: RA RB = 0.015 +2.35RM + eA = 0.032 +1.25RM + eB What is the R² of stock A? o(eA) = 0.33 o(eg) = 0.25 OM = 0.20
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To calculate the Rsquared of stock A we need to first calculate the variance of its returns that is ... View the full answer
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