Question: If the risk-free asset return is 0.028, the expected return on the market portfolio is 0.061, the actual return on a stock is 0.053, and

If the risk-free asset return is 0.028, the expected return on the market portfolio is 0.061, the actual return on a stock is 0.053, and its beta is 3.6.

What is the Jensen's alpha (the difference between E(Ri) and actual return) of the stock?

Step by Step Solution

★★★★★

3.34 Rating (160 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

Jensens Alpha R p ... View full answer

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Accounting Questions!

If a portfolio had a return of 10.2%, the risk free asset return was 3.9%, and the standard deviation of the portfolio's excess returns was 13.3%, the Sharpe measure would be ?

What is the NPV for the following project cash flows at a discount rate of 15%? C0=-1,000, C1=700, C2=700 SOB Floor Company has a risk premium of 21% and a beta of 3. If the risk free rate is 3%,...

Last Sale Net Bid Ask Open Int Puts Last Sale Net bid Ask Vol Open Int 16Aug 155.00(1619H155-E) 6.45 0.75 6.95 7.25 9 16Aug 155.00(1619T155-E) 1.18 (0.75) 1.17 1.25 61 4505 16Aug 166.00(1619H160-E)...

Question 32 Not yet answered Marked out of 1.50 P Flag question The capital gain on an investment property which has been sold is: Select one: a, the sale price as a percentage of the purchase price...

If the risk-free asset return is 0.016, the expected return on the market portfolio is 0.064, the actual return on a stock is 0.089, and its beta is 3.4. What is the Jensen's alpha (the difference...

If the risk - free asset return is 0 . 0 3 6 , the expected return on the market portfolio is 0 . 0 6 3 , the actual return on a stock is 0 . 0 5 2 , and its beta is 3 . 4 . What is the Jensen's...

If the risk-free asset return is 0.036, the expected return on the market portfolio is 0.055, the actual return on a stock is 0.08, and its beta is 4.5. What is the Jensen's alpha (the difference...

If the risk-free asset return is 0.026, the expected return on the market portfolio is 0.056, the actual return on a stock is 0.084, and its beta is 3.4. What is the Jensen's alpha (the difference...

If the risk-free asset return is 0.034, the expected return on the market portfolio is 0.069, the actual return on a stock is 0.055, and its beta is 2.3. What is the Jensen's alpha (the difference...

Question 42 Not yet answered Marked out of 3.60 Flag question If the risk-free asset return is 0.029, the expected return on the market portfolio is 0.05, the actual return on a stock is 0.077, and...

Buffette Software had the following selected account balances at December 31, 2014 (in thousands, except par value per share): Requirements 1. Prepare the stockholders equity section of Buffette...

Three alkenes are formed from the E1 reaction of 3-bromo-2,3-dimethylpentane. Give the structures of the alkenes, and rank them according to the amount that would be formed. (Ignore stereoisomers.)

Which of the following activities is the responsibility of the auditor? Planning and performing the audit with professional skepticism. Designing, implementing, and maintaining internal control...

Prepare general journal entries for the following transactions: Jan. 16 Received a 30-day, 9% note in payment for merchandise sale of $20,000. Feb. 15 Received $150 (interest) on the old (January 16)...

The following summary data for the payroll period ended December 27, 2009, are available for Cayman Coating Co.: Gross pay . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ....

Omega Corporation reports the following results for the current year: Gross profits on sales $120,000 Dividends from less-than-20%-owned domestic corporations . 40,000 Operating expenses 100,000...

The universitys Wildcat Lair caters to students and serves sandwiches and beverages. It has been reporting losses in past months. In July, for example, the loss was $5,000. The Lair purchases...

Tuscany Boatbuilders was recently awarded a $16,700,000 contract to construct a luxury liner for Queen Cruiseliners Inc. Tuscany estimates it will take 42 months to complete the contract. The company...

Multiple Choicebecause new hires nest how well their preemploymert expectations lit reality, and many times they do ofbecouse employers ignore the dury to orient new hiresbecause the new hire's...

How would the expected return for a portfolio of 500 securities be calculated?

Consider a junk bond with a 12 percent coupon and 20 years to maturity. The current required rate of return for this bond is 15 percent. What is its price? What would its price be if the required...

What problems do estimating accounting earnings present?

1. Are there other options or factors Heineken should consider? 2. How could you improve the ranking analysis? 3. Consider the most favoured option in terms of acceptability and feasibility criteria.

Figure 38.16 in the text compares modern corn with its ancestral plant, teosinte. Neolithic farmers selected for traits such as large cobs and kernel size as well as a tough husk encasing the entire...

Consider two female leaders, in any sphere whether business, politics, education, sport or the arts. How similar are they in style and in what ways is gender important to their style? Could you...