Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: 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 systematic risk of each stock? xxxxxx
Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: 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 systematic risk of each stock? xxxxxx
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 1P
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Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results:
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 systematic risk of each stock? xxxxxx
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