Question: Consider the two (excess return) index-model and regression results for DITO and PLDT. The risk free rate over the period was 6% and the market's

Consider the two (excess return) index-model and regression results for DITO

Consider the two (excess return) index-model and regression results for DITO and PLDT. The risk free rate over the period was 6% and the market's average return was 14%. Performance is measured using an index model regression on excess returns (i.e., CAPM). Statistics DITO PLDT Index model regression estimates 1% + 1.2lrm -rf 2% +0.8(rm - rp) CAPM; E(ri) Coefficient of Determination (R2) 0.576 0.436 Ip-value of intercept 0.04 0.01 p-value of excess returns 0.01 0.02 Residual standard deviation 10.3% 19.1% Standard deviation of excess returns (sigma;) 21.6% 24.9% 1. Calculate the following statistics for each stock 1. Jensen's alpha 2. Sharpe measure 3. Treynor measure 2. Which stock is the better choice? Explain

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