Make a scatter plot with on the vertical axis the historical average excess return of all stocks
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Question:
Make a scatter plot with on the vertical axis the historical averageexcess returnof all stocks and on the horizontal axis the stock's beta estimates over the full sample period. Also add a linear trend line, which is the security market line (SML). Does this plot support the CAPM predictions?
- Indicate every correct statement from the list below.
- The estimated slope coefficient is positive, which is consistentwith the CAPM.
- The estimated slope coefficient is positive, which is NOT consistentwith the CAPM.
- The estimated intercept is positive, which isconsistentwith the CAPM.
- The estimated intercept is positive, which isNOTconsistentwith the CAPM.
- The estimated slope coefficient is negative, which isconsistentwith the CAPM.
- The estimated slope coefficient is negative, which isNOTconsistentwith the CAPM.
- The estimated intercept is negative, which is consistent with the CAPM
- The estimated intercept is negative, which is NOT consistent with the CAPM
Related Book For
Business Statistics A Decision Making Approach
ISBN: 9780133021844
9th Edition
Authors: David F. Groebner, Patrick W. Shannon, Phillip C. Fry
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