RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 where M is S&P/TSX Comp Index and RX is the excess return of stock X. What is the standard deviation of each stock? (Hint: βi = (ρiM σi) / σM.) What is the systematic risk of each stock?

RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 where M is S&P/TSX Comp Index and RX is the excess return of stock X. What is the standard deviation of each stock? (Hint: βi = (ρiM σi) / σM.) What is the systematic risk of each stock?

College Algebra

1st Edition

ISBN:9781938168383

Author:Jay Abramson

Publisher:Jay Abramson

Chapter6: Exponential And Logarithmic Functions

Section6.8: Fitting Exponential Models To Data

Problem 5SE: What does the y -intercept on the graph of a logistic equation correspond to for a population...

See similar textbooks

Related questions

Q: If the correlation coefficient between number of years of experience of an employee and the monthly…

A: The correlation coefficient between number of years of experience of an employee and the monthly…

Q: Calculate the forecasted values of tempurature based on weeks using Exponential Smoothing. The…

A: Given: The actual values of temperature and predicted values of temperature based on weeks using…

Q: Structures in a county need to be designed for earthquake loading. After a detailed seismic risk…

Q: If 3 points were added to every score in the population, what would be the new values for the mean…

A: The mean is the average value of the data set and is computed by summing up all the observationsand…

Q: Find each of the requested values for a population with a mean of 72 and a standard deviation of 10…

A: PX≥85.0=PX-μσ≥85.0-7210=PZ≥1.3=1-PZ<1.3=1-0.9032 Excel function=NORM.S.DIST1.3,TRUE=0.0968

Q: As the value of correlation coefficient increases from 0 to 1, or decreases from 0 to -1, how do the…

A: It is known that the value of the correlation coefficient lies between -1 and 1. The value 1…

Q: The following regression equation gives the relationship between the number of Fake Christmas trees…

A: A) The regression equation between the number of Fake Christmas trees sold each year in a certain…

Q: One set of 20 pairs of scores, X and Y values, produces a correlation of r = 0.70. If SSY = 150,…

A: Given values, n=20r=0.70SSy=150

Q: The time to failure of a certain type fo electrical component is assumed to follow an exponential…

A: Consider X be a random variable which follows exponential distribution indicates the failure time of…

Q: What is the residual?

A: The data table containing the observed values and the predicted values is as follows…

Q: Consider the following estimated trend models. Use them to make a forecast for t = 20.a. Linear…

Q: If the expected return on the market is 8% and the risk for your rate is 4%. What is the expected…

A: Given : Expected return on market (rm) = 8% Risk for your rate (rf)= 4% Beta = 2.00 Expected return…

Question

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

R_HD =-0.03+2.10R_M+e_HD

R-squared =0.7

R_ML =0.06+1.60R_M+e_ML

R-squared =0.6

σ_M =0.15

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

What is the standard deviation of each stock? (Hint: β_i = (ρ_iM σ_i) / σ_M.)
What is the systematic risk of each stock?

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

Suppose that the return for a particular investment is normally distributed with a population mean of 10.1% and a population standard deviation of 5.4%. A person must score in the upper 5% of the population on an IQ test to qualify for a particular occupation If IQ scores are normally distributed with a mean of 100 and a standard deviation of 15, what score must a person have to qualify for this occupation?
Suppose the mean monthly return on a T-Bill is 0.5% with a standard deviation of 0.58%. Sup-pose we have another investment Y with a 1.5% mean monthly return and standard deviationof 6%. Which of the two investments o ers less risk in terms of investment.
Find the residual associated with 2007
Suppose you fit a simple Poisson model such that in A = XB where B = 1.9. What would the variance be if x = -0.8 ?
Weekly downtime of internet services from an internet service provider (in hours) has expected value 0.5 and variance 0.25. Based on past experience, the data scientist of a retailer store has calculated the loss function to the store from the downtime as C=30X+2X2 where X is the amount of weekly downtime and C is cost. Find the Expected cost, i.e, E(C).
The following regression equation gives the relationship between the number of Fake Christmas trees sold each year in a certain state and the number of Real Christmas trees sold that same year in that state: Fake = 8162 - 0.11(Real)(a) How many fake Christmas trees would you predict for a year in which 9211 real Christmas trees sold? (2 decimal places) (b) This model has an R-squared value of 0.1. What is the correlation between the number of real and fake trees sold? (3 decimal places) (c) A competing model predicting the number of fake trees sold using the number families with children under age 8 has an R-squared value of 0.21. Which model should we prefer? We should prefer the model using the number of real trees sold.We should prefer the model using the number of children under age 8. We should not have a preference between the two models.
Run a simple linear regression in SPSS to know if previous experience (‘prevexp’: Previous Experience-months) significantly predicts current salary(‘salary’: Current Salary) in the work force . Use α =.05 Is the regression equation significant? That is, does Previous Experience explains (or predicts) a significant amount of variability in Current Salary? Report the F, df (of numerator, and df of the denominator) and p-value.
Suppose that replacement times for washing machines are normally distributed with a mean of μ= 8.7 years and a standard deviation of σ= 1.6 years. Find and illustrate the replacement time that separates the bottom 90% from the top 10%.
2
An investigator modeled the log-odds of getting stomach cancer as a function of number of servings of vegetables per week and the number of servings of red mean per week using logistic regression. The odds that a person gets stomach cancer if they have 4 servings of red meat a week are 1.2 times the odds of cancer for someone who has 3 servings of red meat a week. What is the odds ratio for stomach cancer for someone who has 5 servings as opposed to someone who has 3 servings? Enter your answer to 3 digits beyond the decimal point.
Suppose a data set of 200 observations (n = 200) was analyzed using OLS to examine the relationship between CEO salary and various measures of firm performance. The regression results are as follows, with standard errors in parentheses: logy = 5 + 0.2logx₁0.03x₂ +0.002x3 (0.2) (0.04) (0.004) where? (0.009) y = CEO salary in thousands of dollars X₁ = annual firm sales X₂ = percentage of sales lost to competitors X3 = return on stock in percent R² = 0.290 Suppose you want to test the null hypothesis that percentage of sales lost to competitors has no ceteris paribus effect on the salaries of CEOS. For the one-sided alternative hypothesis ß₂ < 0 and 1% rejection rule (i.e., at the 1% level), you would_ the null hypothesis that ß₂ = 0.
Consider the following table from Neal & Johnson (1995). Which of the following statements are true: TABLE 1 LoG WAGE REGRESSIONS BY SEX MEN (N 1,593) WOMEN (N 1,446) (1) (2) (3) (4) (5) (6) Black -.244 -.196 -.072 -.185 -.155 .035 (.026) -.113 (.025) – .045 (.029) .046 (.027) .005 (.029) - .028 (.033) .010 (.027) (.031) Hispanic .057 .145 (.030) .048 (.030) .040 (.031) (.032) Age .009 .023 (.014) (.013) .172 (.012) -.013 (.011) (.013) (.015) (.014) AFQT (.015) .228 AFQT? (.015) .013 (.013) High grade by 1991 .061 .088 (.005) .155 (.005) .191 R? .059 .168 .029 .165 Controlling for test scores makes the coefficient for Black men smaller (in absolute terms) Being a black woman decreases wages by -$1.55, controlling for years of schooling Hispanic women have lower wages when controlling for test scores. This estimate is statistically significant. Black men have 19.6% lower wages when controlling for years of schooling Age is statistically insignificant across all specifications