You estimated factor models for IBM and GE, using monthly data and the return on the...

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You estimated factor models for IBM and GE, using monthly data and the return on the S&P 500 as your single factor, i.e. rit = a₁ + BirSP500,t + €₁,t Your estimates are as follows: • IBM: IBM 0.003, BIBM = 0.9, and var[€1BM,1] = 0.002 •GE: AGE = 0.012.GE = 1.1, and var[€GE] = 0.003 • S&P 500: E[r SP500,r] = 0.01 and var [r.SP500.] = 0.003 a) The sample mean of IBM's return in your sample equals b) The sample variance of IBM's return in your sample equals The covariance between IBM and GE according to the factor model equals You estimated factor models for IBM and GE, using monthly data and the return on the S&P 500 as your single factor, i.e. rit = a₁ + BirSP500,t + €₁,t Your estimates are as follows: • IBM: IBM 0.003, BIBM = 0.9, and var[€1BM,1] = 0.002 •GE: AGE = 0.012.GE = 1.1, and var[€GE] = 0.003 • S&P 500: E[r SP500,r] = 0.01 and var [r.SP500.] = 0.003 a) The sample mean of IBM's return in your sample equals b) The sample variance of IBM's return in your sample equals The covariance between IBM and GE according to the factor model equals

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a The sample mean of IBMs return can be calculated using the estimat... View the full answer