Consider the following end of year prices, rounded to a dollar of DGT (SPDR Global Dow) - 150 multinational blue-chip companies, and IWO (iShares Russell 2000 Growth) - small-capitalization growth sector of the U.S. equity market. Answer the questions below using the log-returns. Whenever appropriate, assume that the degree of integration of US market is 0.70, the correlation of US market with the global market is 0.45, there is no liquidity premium, and the Sharpe ratio of the global market is 0.30. Year DGT IWO 2010 60 87 2011 54 91 2012 59 102 2013 69 139 Using the Singer-Terhaar approach, calculate the risk premium of Iwo for the fully integrated case

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Consider the following end of year prices, rounded to a dollar of DGT (SPDR Global Dow) - 150
multinational blue-chip companies, and IWO (iShares Russell 2000 Growth) – small-capitalization
growth sector of the U.S. equity market.
Answer the questions below using the log-returns. Whenever appropriate, assume that the degree of
integration of US market is 0.70, the correlation of US market with the global market is 0.45, there is no
liquidity premium, and the Sharpe ratio of the global market is 0.30.
Year
DGT
IWO
2010
60
87
2011
54
91
2012
59
102
2013
69
139
Using the Singer-Terhaar approach, calculate the risk premium of IWO for the fully integrated
case
Select one:
O a. 4,18
O b. 1.85
O c. 9.22
O d. 7.02
Clear my choice
Transcribed Image Text:Consider the following end of year prices, rounded to a dollar of DGT (SPDR Global Dow) - 150 multinational blue-chip companies, and IWO (iShares Russell 2000 Growth) – small-capitalization growth sector of the U.S. equity market. Answer the questions below using the log-returns. Whenever appropriate, assume that the degree of integration of US market is 0.70, the correlation of US market with the global market is 0.45, there is no liquidity premium, and the Sharpe ratio of the global market is 0.30. Year DGT IWO 2010 60 87 2011 54 91 2012 59 102 2013 69 139 Using the Singer-Terhaar approach, calculate the risk premium of IWO for the fully integrated case Select one: O a. 4,18 O b. 1.85 O c. 9.22 O d. 7.02 Clear my choice
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