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.

College Algebra

1st Edition

ISBN:9781938168383

Author:Jay Abramson

Publisher:Jay Abramson

Chapter6: Exponential And Logarithmic Functions

Section: Chapter Questions

Problem 8RE: Suppose an investment account is opened with aninitial deposit of 10,500 earning 6.25...

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You are told that Land’s End, a catalog retailer, earned an excess return (Jensen’s alpha), in annualized terms, of 0.34 over the last 5 years and that it had a beta of 1.3 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 0.048 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.
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