Consider the following end of year prices, rounded to a dollar of DGT (SPDR Global Dow)...
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Consider the following end of year prices, rounded to a dollar of DGT (SPDR Global Dow) - 150 multinational blue-chip companies, and IWO (iShares Russell 2000 Growth) - small-capitalization growth sector of the U.S. equity market. Answer the questions below using the log-returns. Whenever appropriate, assume that the degree of integration of US market is 0.70, the correlation of US market with the global market is 0.45, there is no liquidity premium, and the Sharpe ratio of the global market is 0.30. Year DGT 2010 60 2011 54 91 2012 59 102 2013 69 139 What is the sample covariance between the returns on DGT and IWO? IWO 87 Consider the following end of year prices, rounded to a dollar of DGT (SPDR Global Dow) - 150 multinational blue-chip companies, and IWO (iShares Russell 2000 Growth) - small-capitalization growth sector of the U.S. equity market. Answer the questions below using the log-returns. Whenever appropriate, assume that the degree of integration of US market is 0.70, the correlation of US market with the global market is 0.45, there is no liquidity premium, and the Sharpe ratio of the global market is 0.30. Year DGT 2010 60 2011 54 91 2012 59 102 2013 69 139 What is the sample covariance between the returns on DGT and IWO? IWO 87
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CovarianceDGT IWO rdgt dgt riwo iwo n 1 Where rdgt is the log return of DGT for each year riwo is th... View the full answer
Related Book For
Financial Reporting Financial Statement Analysis and Valuation a strategic perspective
ISBN: 978-1285190907
8th edition
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
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