Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
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Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, and the market's average return was 15%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, (e) Standard deviation of excess returns Stock A Stock B 1% + 1.2(rm -rf) 2% 0.8(rm -rf) 0.617 11% 22.3% 0.457 19.8% 26.3% a. Calculate the following statistics for each stock: (Round your answers to 4 decimal places.) i. Alpha ii. Information ratio iii. Sharpe ratio iv. Treynor measure Stock A Stock B % % Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, and the market's average return was 15%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, (e) Standard deviation of excess returns Stock A Stock B 1% + 1.2(rm -rf) 2% 0.8(rm -rf) 0.617 11% 22.3% 0.457 19.8% 26.3% a. Calculate the following statistics for each stock: (Round your answers to 4 decimal places.) i. Alpha ii. Information ratio iii. Sharpe ratio iv. Treynor measure Stock A Stock B % %
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