Suppose that the index model for stocks A and B is estimated from excess returns with...
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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA= 2.8% + 1.00RM + eд RB = -1.0 % + 1.30RM + еB = 18%; R-squareд = 0.27; R-square = 0.13 OM Break down the variance of each stock to the systematic and firm-specific components. Note: Do not round intermediate calculations. Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Round your answers to nearest whole number. Systematic Firm-specific Risk for A Risk for B Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA= 2.8% + 1.00RM + eд RB = -1.0 % + 1.30RM + еB = 18%; R-squareд = 0.27; R-square = 0.13 OM Break down the variance of each stock to the systematic and firm-specific components. Note: Do not round intermediate calculations. Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Round your answers to nearest whole number. Systematic Firm-specific Risk for A Risk for B
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SOLUTION To calculate the systematic and firmspecific components of the risk for stocks A and B we c... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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