Returns: stock 3 Factors (X could be the 'market'): X Y Z 0.06395489 0.18832229 0.04819651 0.39254488 -0.0307099 -0.0832399 0.13481265 0.17751456 0.331746 -0.0484893 0.08660395 -0.2266809 -0.0667317 -0.0492452 0.05576388 0.19952672 -0.1243418 0.03095402 -0.0401988 0.4401422 -0.0244676 0.19317424 0.07620168 -0.8762903 0.17662764 0.16930603 0.1287819 0.05745825 -0.1170086 0.00699369 -0.0117385 -0.1090863 0.04937574 -0.0887418 0.0907047 -0.0585092 0.15677513 0.01910383 0.00982861 -0.1102443 -0.0398633 -0.0152862 -0.1460475 -0.189832 -0.0057692 -0.0073788 0.00455968 0.12047163 -0.072346 -0.0445333 0.01650349 -0.5832475 0.15689221 0.23821567 0.23061362 0.20581227 0.06514132 0.14633706 0.18467848 -0.245614 0.14199752 0.10491619 -0.0482221 0.02049699 0.05469179 0.01468749 0.04501586 0.35136189 -0.3616115 -0.1146998 -0.1951864 -0.2981409 0.0124627 0.03981314 0.13429805 0.47702664 0.09711263 0.0505516 0.18344085 0.50744629 0.03464098 0.05585452 0.09641123 0.09186571 -0.0655649 0.10566358 0.13976071 0.0916448 0.06991364 0.07581108 0.07098105 0.09514755 1 2 DATE 3 3/01/11 Henry 4 4/01/11 5 5/01/11 6 6/01/11 7 7/01/11 8 10/01/11 9 11/01/11 10 12/01/11 11 13/01/11 12 13 14 15 14/01/11 18/01/11 19/01/11 20/01/11 16 21/01/11 17 24/01/11 18 19 20 21 25/01/11 26/01/11 27/01/11 28/01/11 22 31/01/11 23 1/02/11 24 2/02/11 25 3/02/11 26 4/02/11 27 28 29 What is the beta for each factor (X,Y,Z)?
Returns: stock 3 Factors (X could be the 'market'): X Y Z 0.06395489 0.18832229 0.04819651 0.39254488 -0.0307099 -0.0832399 0.13481265 0.17751456 0.331746 -0.0484893 0.08660395 -0.2266809 -0.0667317 -0.0492452 0.05576388 0.19952672 -0.1243418 0.03095402 -0.0401988 0.4401422 -0.0244676 0.19317424 0.07620168 -0.8762903 0.17662764 0.16930603 0.1287819 0.05745825 -0.1170086 0.00699369 -0.0117385 -0.1090863 0.04937574 -0.0887418 0.0907047 -0.0585092 0.15677513 0.01910383 0.00982861 -0.1102443 -0.0398633 -0.0152862 -0.1460475 -0.189832 -0.0057692 -0.0073788 0.00455968 0.12047163 -0.072346 -0.0445333 0.01650349 -0.5832475 0.15689221 0.23821567 0.23061362 0.20581227 0.06514132 0.14633706 0.18467848 -0.245614 0.14199752 0.10491619 -0.0482221 0.02049699 0.05469179 0.01468749 0.04501586 0.35136189 -0.3616115 -0.1146998 -0.1951864 -0.2981409 0.0124627 0.03981314 0.13429805 0.47702664 0.09711263 0.0505516 0.18344085 0.50744629 0.03464098 0.05585452 0.09641123 0.09186571 -0.0655649 0.10566358 0.13976071 0.0916448 0.06991364 0.07581108 0.07098105 0.09514755 1 2 DATE 3 3/01/11 Henry 4 4/01/11 5 5/01/11 6 6/01/11 7 7/01/11 8 10/01/11 9 11/01/11 10 12/01/11 11 13/01/11 12 13 14 15 14/01/11 18/01/11 19/01/11 20/01/11 16 21/01/11 17 24/01/11 18 19 20 21 25/01/11 26/01/11 27/01/11 28/01/11 22 31/01/11 23 1/02/11 24 2/02/11 25 3/02/11 26 4/02/11 27 28 29 What is the beta for each factor (X,Y,Z)?
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
Related questions
Question
Transcribed Image Text:1
2 DATE
3
3/01/11
4
4/01/11
5
5/01/11
6
6/01/11
7
7/01/11
8
10/01/11
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11/01/11
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12/01/11
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11
12
14/01/11
18/01/11
13
14
19/01/11
15
20/01/11
16
21/01/11
17
24/01/11
18
19
25/01/11
26/01/11
27/01/11
20
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28/01/11
22
31/01/11
23
1/02/11
24
2/02/11
25
3/02/11
26
4/02/11
27
28
29 What is the beta for each factor (X,Y,Z)?
Returns:
stock
3 Factors (X could be the 'market'):
Henry
X
Y
Z
0.06395489 0.18832229 0.04819651 0.39254488
-0.0307099 -0.0832399 0.13481265 0.17751456
0.331746 -0.0484893 0.08660395 -0.2266809
-0.0667317 -0.0492452 0.05576388 0.19952672
-0.1243418 0.03095402 -0.0401988 0.4401422
-0.0244676 0.19317424 0.07620168 -0.8762903
0.17662764 0.16930603 0.1287819 0.05745825
-0.1170086 0.00699369 -0.0117385 -0.1090863
0.04937574 -0.0887418 0.0907047 -0.0585092
0.15677513 0.01910383 0.00982861 -0.1102443
-0.0398633 -0.0152862 -0.1460475 -0.189832
-0.0057692 -0.0073788 0.00455968 0.12047163
-0.072346 -0.0445333 0.01650349 -0.5832475
0.15689221 0.23821567 0.23061362 0.20581227
0.06514132 0.14633706 0.18467848 -0.245614
0.14199752 0.10491619 -0.0482221 0.02049699
0.05469179 0.01468749 0.04501586 0.35136189
-0.3616115 -0.1146998 -0.1951864 -0.2981409
0.0124627 0.03981314 0.13429805 0.47702664
0.09711263 0.0505516 0.18344085 0.50744629
0.03464098 0.05585452 0.09641123 0.09186571
-0.0655649 0.10566358 0.13976071 0.0916448
0.06991364 0.07581108 0.07098105 0.09514755
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