Question: Monthly return data are presented below for each of three stocks and the S&P index (corrected for dividends) for a 12-month period. Calculate the following
- Alpha for each stock
- Beta for each stock
- The standard deviation of the residuals from each regression
- The correlation coefficient between each security and the market
- The average return on the market
- The variance of the market
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181 4843714 675 675 52444623621 444623621 728382 685497 137 566 728382 685497 15 4 1 O 9 O 1547 31113-11-1 137 6 150410901547 31113 ty 065629872592 284577395773 25430521031 06562.9 8 7 2 592 284577395773 225430521031 572769 0215179-074 254132811270 572769 48 94 7 25413 123456789 123456789 111
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We will illustrate the answers for stock A and the market portfolio SP 500 the answers for stocks B and C are found in an identical manner The sample ... View full answer
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