Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 12%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns LAlpha Stock A 18+ 1.2(M - If) 0.623 11.10 22.49 Stock A a. Calculate the following statistics for each stock: (Round your answers to 4 decimal places.) Stock B 28+0.8(M-Ig) Stock B 0.46 19.98 26.58
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 12%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns LAlpha Stock A 18+ 1.2(M - If) 0.623 11.10 22.49 Stock A a. Calculate the following statistics for each stock: (Round your answers to 4 decimal places.) Stock B 28+0.8(M-Ig) Stock B 0.46 19.98 26.58
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
Problem 1PS
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Transcribed Image Text:Consider the two (excess return) index-model regression results for stocks A and 8. The risk-free rate over the period was 7%, and the
market's average return was 12%. Performance is measured using an index model regression on excess returns.
Index model regression estimates
R-square
Residual standard deviation, a(e)
Standard deviation of excess returns
LAlpha
ii. Information ratio
iii. Sharpe ratio
iv. Treynor measure
Stock A
%
Stock A
18+ 1.2 (FM rg)
a. Calculate the following statistics for each stock: (Round your answers to 4 decimal places.)
%
0.623
11.10
22.4%
Stock B
%
Stock B
28+0.8(MI)
0.46
%
19.98
26.5%
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