Suppose the index model for stocks A and B is estimated from excess returns with the following
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Suppose the index model for stocks A and B is estimated from excess returns with the following results:
R A = 2 % + 0,70 R M + e A | |
R B = –1,8 % + 0,90 R M + e B | |
σM = 22%; R -squared A = 0.20; R -squared B = 0.15 |
What are the covariance and correlation coefficient between the two stocks? ( Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answers to 4 decimal places . ) |
covariance | |
Correlation coefficient | |
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