You are told that Land's End, a catalog retailer, earned an excess return (Jensen's alpha), in annualized terms, of 0.36 over the last 5 years and that it had a beta of 1.4 during the same period. Assuming that this estimate came from a quarterly regression of stock returns against a market return, and that the average annualized risk-free rate during the period was 0.044 Estimate the quarterly excess return. Estimate the intercept on the .regression Assuming that the standard error in the beta estimate is 0.35, provide the lower bound for the raw beta estimate, in a .67% confidence interval Assuming that the standard error in the beta estimate is 0.35, provide the upper bound for the raw beta estimate, in a 67% confidence interval.

You are told that Land's End, a catalog retailer, earned an excess return (Jensen's alpha), in annualized terms, of 0.36 over the last 5 years and that it had a beta of 1.4 during the same period. Assuming that this estimate came from a quarterly regression of stock returns against a market return, and that the average annualized risk-free rate during the period was 0.044 Estimate the quarterly excess return. Estimate the intercept on the .regression Assuming that the standard error in the beta estimate is 0.35, provide the lower bound for the raw beta estimate, in a .67% confidence interval Assuming that the standard error in the beta estimate is 0.35, provide the upper bound for the raw beta estimate, in a 67% confidence interval.

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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