INV 2-3a Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =0.02+0.80RM+eHD R-squared =0.6 RML =-0.03+1.50RM+eML R-squared =0.4 σM =0.20 where M is S&P/TSX Comp Index and RX is the excess return of stock X. a. What is the standard deviation of each stock? (Hint: bi = (ρiM σi) / σM.)

INV 2-3a Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =0.02+0.80RM+eHD R-squared =0.6 RML =-0.03+1.50RM+eML R-squared =0.4 σM =0.20 where M is S&P/TSX Comp Index and RX is the excess return of stock X. a. What is the standard deviation of each stock? (Hint: bi = (ρiM σi) / σM.)

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

See similar textbooks

Related questions

Q: Question 4: Trying to determine the number of students to accept is a tricky task for universities.…

Q: Fitts' Law is a robust and highly adopted model of human movement. According to Fitts' Law, the time…

A: Hello. Since your question has multiple sub-parts, we will solve first three sub-parts for you. If…

Q: A toll bridge charges $1.00 for passenger cars and $2.25 for other vehicles. Suppose that during…

A: Given information: It is given that the, toll bridge charges $1 for passenger cars and $2.25 for…

Q: Suppose the analyst constructs the simple linear regression model In(y) = a + Bx + e. She estimates…

A: Here use given regression equation

Q: The table given below indicates Small Holding Ltd.'s quarterly profits in 2019 and 2020. Time Period…

A: Regression: Regression defines the relationship of dependent variable with two or more independent…

Q: Suppose you are interested in knowing if the return of a stock is related to several financial…

A: Step 1: When dealing with confidence intervals for ratios (like odds ratios or relative risks or any…

Q: Assume a simple logistic regression model for X and binary response Y. The estimated parameters are…

A: Introduction: The response variable is Y, which is a binary variable. Suppose it’s two possible…

Q: Ten weeks of data on the commodity Futures Index are 7.35, 7.4, 7.55, 7.56, 7.6, 7.52, 7.52, 7.7,…

A: Formula Used: Ft+1=Ft+α(At-Ft)Ft+1=αAt+(1-α)Ft We use second formula to calculate exponential…

Q: Number of Certified Organic Farms in the United States, 2001–2008 Year Farms 2001 5,441 2002 5,806…

A: Introduction: From the given information, it seems that the year 2001 is numbered as year 1, 2002 as…

Q: Consider the following estimated regression model relating annual salary to years of education and…

A: The objective of the question is to calculate the estimated annual salary of an employee based on…

Q: 1.Write the logistic regression equation to model the odds of distress as a function of temperature.…

A: Given the output of a logistic regression ( binomial ).

Q: A regression model to predict Y, the state burglary rate per 100,000 people for 2005, used the…

Q: 13.1.2

A: A) Since the coefficient for Horsepower is negative and equal to -0.18 so for a unit increase in…

Q: In a linear regression: a. X predicts Y' b.Y predicts X c.X predicts Y d.Variables…

A: We have to find correct answer.

Q: For a certain product it was found that annual sales volume could be well described by a third-order…

A: The estimated model is given as: xt=197+1.80xt-1-0.29xt-2+0.03t-3+εt The sales for 1993, 1994 and…

Q: Consider the following estimated regression model relating annual salary to years of education and…

A: The objective of the question is to determine the difference in expected annual salary between two…

Q: Consider the following estimated regression model relating annual salary to years of education and…

A: The regression equation is . Both the employees have 5 years of experience but the employee with a…

Q: 4. El analista de la Tiliche Corp. realizó 10 estudios de tiempos independientes en la sección de…

Q: Consider the following estimated regression model relating annual salary to years of education and…

A: The objective of the question is to determine the difference in expected annual salary between two…

Q: 2) are given in the following Table. Quarter Q1 Q2 Q3 Q4 2019 38 36 38 55 2018 2021 Y₁ 41 34 45 40…

A: To fit a time series model with trend and seasonality with respect to the given data: By using…

Q: A regression model to predict Y, the state burglary rate per 100,000 people for 2005, used the…

A: Introduction: Denote βi as the true slope coefficient corresponding to the predictor Xi, for i = 1,…

Q: Use this quadratic model above to answer this question. Predict the residential retail sale of…

A: Year(x) : { 2000,2003,2006,2009,2012,2015 } Residential (Y) : { 1192,1276,1400,1420,1402,1390 } Here…

Question

INV 2-3a

Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results:

R_HD =0.02+0.80R_M+e_HD

R-squared =0.6

R_ML =-0.03+1.50R_M+e_ML

R-squared =0.4

σ_M =0.20

where M is S&P/TSX Comp Index and R_X is the excess return of stock X.

a. What is the standard deviation of each stock? (Hint: b_i = (ρ_iM σ_i) / σ_M.)

Expert Solution

This question has been solved!

Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.

SEE SOLUTION Check out a sample Q&A here

Step 1

VIEW

Step 2

VIEW

Step by step

Solved in 2 steps with 2 images

SEE SOLUTION Check out a sample Q&A here

Similar questions

Using 81 quarterly observations on the growth rate of employment (Y) and the growth rate of output (X), the following regression results are obtained by ordinary least squares (t = 1, 2,...,81): -0.002+0.105X+0.730Y-1+0.063X-1, (0.001) (0.014) (0.045) (0.016) BG 1.100 [0.363], WH=1.474 [0.175], RESET = 0.081 [0.777], R² = 0.8827, SSR 0.00061, -0.002+0.086(X+X-1)+0.711Y-1, (0.001) (0.011) (0.045) R² = 0.8767, SSR = 0.00065. is the fitted value of the regression; figures in parentheses are the standard errors of the estimated coefficients; R² is the coefficient of determination; SSR is the sum of squared residuals; BG is the Breusch-Godfrey test for fourth-order autocorre- lation; WH is White's test for heteroskedasticity; RESET is Ramsey's regression specification error test; figures in square brackets are the p-values of BG, WH and RESET. Test the null hypothesis that the coefficients on X and X-1 in the first regres- sion are equal against the alternative hypothesis that they are not…
A regression function used to examine the factors affecting the chief executive officer salary in financial, manufacturing, utilities and transportation sector is given as below. Figures in parentheses are standard errors. Ln Y = 4.59 +0.257 log(X) + 0.158 D₁ +0.181D21 -0.283D31 se = (0.30) (0.032) (0.089) (0.085) (0.099) n = 209, R² = 0.357 Where Y = salary (in thousands) X₁ = annual sales D₁- D₂= D₂= (1, financial sector otherwise lo, manufacturing sector otherwise utililities sector otherwise Interpret the coefficient for D₂ Compute the approximate percentage difference in estimated salary between the utilities and transportation sector, holding annual sales fixed. Is the difference statistically significant at 1% level?
Calculate the estimate of σε What is the estimated resting heart rate for someone who is a smoker (Smoke=1) and exercises 1 hour a day (Exercise=1)?
Cascade Pharmaceuticals Company developed the following regression model, using time-series data from the past 33 quarters, for one of its nonprescription cold remedies: Y=−1.04+0.24X1−0.27X2�=−1.04+0.24�1−0.27�2 where Y� = quarterly sales (in thousands of cases) of the cold remedy X1�1 = Cascade's quarterly advertising (× $1,000) for the cold remedy X2�2 = competitors' advertising for similar products (× $10,000) Here is additional information concerning the regression model: sb1=0.042�b1=0.042, sb2=0.070�b2=0.070, R2=0.720�2=0.720, se=1.63��=1.63, F-statistic=31.402F-statistic=31.402, and Durbin-Watson (d) statistic=0.499Durbin-Watson (d) statistic=0.499. Which of the independent variables (if any) appears to be statistically significant (at the 0.05 level) in explaining sales of the cold remedy? (Hint: t0.05/2,33 - 3=2.042�0.05/2,33 - 3=2.042.) Check all that apply. X1�1 X2�2 What proportion of the total variation in sales is explained by the regression…
A toll bridge charges $1.00 for passenger cars and $2.75 for other vehicles. Suppose that during daytime hours, 65% of all vehicles are passenger cars. If 20 vehicles cross the bridge during a particular daytime period, what is the resulting expected toll revenue? [Hint: Let X = the number of passenger cars; then the toll revenue h(X) is a linear function of X.]
The following table gives the regression results of consumption behaviour between female and male. Consumption (C), in RM Model 1 Model 2 Constant 0.7515 0.6587 (0.024) (0.037) Y 0.8603 0.5442 (0.0301) (0.2881) Gen 0.2001 (0.0004) Y*Gen 0.3105 (0.0076) Adjusted R 0.78 0.78 No. of Observations 47 47 Note: Y=income (RM) Gen= Gender ( It is equal to 1 if person is female; 0 is for male) Figures in the parentheses are p- values a) Identify which are the qualitative, quantitative and interaction variable. Refer to Model 1: b) Write the regression equations for female and male. Draw the regression lines for female and male on the same diagram. What can you c) say? d) Interpret all the estimated slope coefficients. e) Conduct an appropriate test to determine whether variable gender is statistically significant at 5%. Should this variable be dropped from this regression model.
Suppose the analyst constructs the simple linear regression model In(y) = a + Bx+e. She estimates it to be In() = -1- 1.3x. What is the residual in Excel output for the pair of observations x= 1.5 and y = 27 O a. 6. O b. 1.98 O c. -2. O d. 403.43 e. 4.29