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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

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

MATLAB: An Introduction with Applications
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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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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