Question: Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. - ) Stock B 2% + 0.8( - 0.463 ) Index model regression estimates K-square Residual standard deviation, (e) Standard deviation of excess returns 151.2( 0.629 11.2% 2017 a. Calculate the following statistics for each stock: (Round your answers to 4 decimal places.) Stook A Stock B 1.Alpha Information ratio . Sharpe ratio i Treynor measure b. Which stock is the best choice under the following circumstances? This is the only risky asset to be held by the investor This stock will be mored with the rest of the investorsport currently composed soy of hongs the marketindex fund This is one of many stocks that reinvestors to form an actively manage stock porto
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