1. You regress the annual excess return of the ABC stock on the excess returns of...

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1. You regress the annual excess return of the ABC stock on the excess returns of the market portfolio. During the sample period, the excess return of the market portfolio had an average of 6% and a standard deviation of 17%. The T-Bill rate is 2%. Intercept TM-TI Coefficients 0.0201 0.7419 t-stat 3.41 6.12 (a) Does the ABC stock have a statistically significant CAPM alpha? (b) What is the 95% confidence interval for the CAPM beta of ABC? (c) If we invest $2,000 in the ABC stock, $5,000 in the market portfolio and $3,000 in Treasury Bills, what is the CAPM alpha of that portfolio? What is the market beta of that portfolio? 1. You regress the annual excess return of the ABC stock on the excess returns of the market portfolio. During the sample period, the excess return of the market portfolio had an average of 6% and a standard deviation of 17%. The T-Bill rate is 2%. Intercept TM-TI Coefficients 0.0201 0.7419 t-stat 3.41 6.12 (a) Does the ABC stock have a statistically significant CAPM alpha? (b) What is the 95% confidence interval for the CAPM beta of ABC? (c) If we invest $2,000 in the ABC stock, $5,000 in the market portfolio and $3,000 in Treasury Bills, what is the CAPM alpha of that portfolio? What is the market beta of that portfolio?

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