$11$:$34$

$.$ II $$

You have run a regression of monthly stock returns for Gym Place Holdings, a small playset manufacturing company against the S&P $500$ over the last $5$ years. The results are summarized below:

ReturnsGym Place $=0\mathrm{.}00025+1\mathrm{.}5$ Returns $S$&$P500,R2=0\mathrm{.}5,$ the standard error for the beta estimate is $0\mathrm{.}3$

If you know that this stock had a monthly Jensen's alpha of $0\mathrm{.}0044$ during the period of the regression.

The monthly risk free rate during the regression period was

The correct answer is: $0\mathrm{.}00415$

The annualized risk free rate during the last $5$ years was

The correct answer is: $0\mathrm{.}050952556946331$

What is the upper bound in a $67\%$ confidence interval for beta estimate?

The correct answer is: $1\mathrm{.}8$

What is the lower bound in a $67\%$ confidence interval for beta estimate?

The correct answer is: $1\mathrm{.}2$

The firm's specific risk was

The correct answer is: $0\mathrm{.}5$

The market risk was

The correct answer is: $0\mathrm{.}5$