After running a linear regression with 1-factor, with the market premium, if beta is positive, then? O the stock and the market are positively correlated (move in the same direction) O the stock and the market are negatively correlated (move in the opposite direction) O no meaning O not enough information
After running a linear regression with 1-factor, with the market premium, if beta is positive, then? O the stock and the market are positively correlated (move in the same direction) O the stock and the market are negatively correlated (move in the opposite direction) O no meaning O not enough information
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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The linear regression model for the stock is given by the equation . Here, the beta is the measure for the sensitivity of return of an asset compared to the market benchmark. Beta is proportional to the covariance of the stock and market premium. The values of beta could be 0, 1, more than 1 or less than.
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