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An investor believes that a particular stock's beta changes over time. To investigate the investor estimates a series of betas for this stock each using 60 months of data over different time periods. The investor then regresses the estimated beta for the current year on the estimated beta for the prior year. The regression estimates are: B₁ = 0.35 + 0.82ẞt-1. If the stocks estimated beta for this year is 0.95, what would be the predicted beta for the coming year? 1.02 0.78 1.30 1.09 None of the above

An investor believes that a particular stock's beta changes over time. To investigate the investor estimates a series of betas for this stock each using 60 months of data over different time periods. The investor then regresses the estimated beta for the current year on the estimated beta for the prior year. The regression estimates are: B₁ = 0.35 + 0.82ẞt-1. If the stocks estimated beta for this year is 0.95, what would be the predicted beta for the coming year? 1.02 0.78 1.30 1.09 None of the above

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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An investor believes that a particular stock's beta changes over time. To investigate the investor estimates a series of betas for this stock each using 60 months of data over different time periods. The investor then regresses the estimated beta for the current year on the estimated beta for the prior year. The regression estimates are: B₁ = 0.35 + 0.82ẞt-1. If the stocks estimated beta for this year is 0.95, what would be the predicted beta for the coming year? 1.02 0.78 1.30 1.09 None of the above
Transcribed Image Text:An investor believes that a particular stock's beta changes over time. To investigate the investor estimates a series of betas for this stock each using 60 months of data over different time periods. The investor then regresses the estimated beta for the current year on the estimated beta for the prior year. The regression estimates are: B₁ = 0.35 + 0.82ẞt-1. If the stocks estimated beta for this year is 0.95, what would be the predicted beta for the coming year? 1.02 0.78 1.30 1.09 None of the above
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