You want to test whether the market risk of a stock is the same as the market portfolio in CAPM What is the null hypothesis What is the alternative hypothesis Compute the OLS estimates for the intercept and the slope coefficient for the simple regression y x e using Eq (4 11) and (4 12) Equation 4 ...

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You want to test whether the market risk of a stock is the same as the market

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You want to test whether the market risk of a stock is the same as the market portfolio in CAPM. What is the null hypothesis? What is the alternative hypothesis?

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Compute the OLS estimates for the intercept and the slope coefficient for the simple regression y = α + βx + e using Eq. (4.11) and (4.12).

Equation 4.11

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Equation 4.12

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Investment Valuation And Asset Pricing Models And Methods

ISBN: 9783031167836

1st Edition

Authors: James W. Kolari, Seppo Pynnönen

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Question Posted: Mar 03, 2024 02:00 AM

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You want to test whether the market risk of a stock is the same as the market

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X 4.6 11.1 19.5 3.2 9.5 10.8 14.2 8.6 21.9 9.2 10.6 22.6 29.7 2.6 23.4 9.0 26.8 15.0 38.9 17.5

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Investment Valuation And Asset Pricing Models And Methods

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