A. You estimate the index model, For A Inc. and B Pte: - = a +...

 

Transcribed Image Text:

A. You estimate the index model, For A Inc. and B Pte: ₁-₁ = a₁ + Bi.M(M-₁) + e₁ For stocks A and B and find the following: St.Dev(r) 0.3 0.2 0.1 Stock A: Stock B: M: B₁.M- 1.5 2 1 The R² of the regression of A's excess returns on the market excess returns is higher than the R2 of the regression of excess returns for B on market excess returns. B. St.Dev(e) will be larger than St.Dev(eg). C. A. and B. are both true. D. A. and B. are both NOT true St.Dev(e) ? ? 0 A. You estimate the index model, For A Inc. and B Pte: ₁-₁ = a₁ + Bi.M(M-₁) + e₁ For stocks A and B and find the following: St.Dev(r) 0.3 0.2 0.1 Stock A: Stock B: M: B₁.M- 1.5 2 1 The R² of the regression of A's excess returns on the market excess returns is higher than the R2 of the regression of excess returns for B on market excess returns. B. St.Dev(e) will be larger than St.Dev(eg). C. A. and B. are both true. D. A. and B. are both NOT true St.Dev(e) ? ? 0

Answer rating: 100% (QA)

Lets solve this stepbystep For stock A AM 15 R2 AM2 152 ... View the full answer