An index model regression applied to past monthly returns in Fords stock price produces the following estimates,

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An index model regression applied to past monthly returns in Ford’s stock price produces the following estimates, which are believed to be stable over time:
RF =.10% +1.1 rm
If the market index sub sequently rises by 8% and Ford’s stock price rises by 7%, what is the abnormal change in Ford’s stock price?

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Investments

ISBN: 9780073530703

9th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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