Suppose that the index model for stock A and B is estimated from excess returns with the following result R A 3 7R M eA R B 2 1 2 R M eB M 20 R square A 20 R sqaure B 12 What are teh covariance and correlation coefficient between the two stocks ...

We are given the following two excess return index model regres ...

Suppose that the index model for stock A and B is estimated from excess returns with the

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Suppose that the index model for stock A and B is estimated from excess returns with the following result:

R _A= 3% + 7R _M +eA

R _B = -2% +1.2 R _M + eB

σ _M= 20% R-square A = 20 R-sqaure B = 12

What are teh covariance and correlation coefficient between the two stocks?

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Fundamentals of corporate finance

ISBN: 978-0470876442

2nd Edition

Authors: Robert Parrino, David S. Kidwell, Thomas W. Bates

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Posted Date: Feb 15, 2019 09:11 AM

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Suppose that the index model for stock A and B is estimated from excess returns with the following result: R A = 3% + 7R M +eA R B = -2% +1.2 R M + eB M = 20% R-square A = 20 R-sqaure B = 12 What...
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Suppose that the index model for stock A and B is estimated from excess returns with the

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Fundamentals of corporate finance

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