You fit a CAPM that regresses the excess return of Coca-cola on the excess market return using 20 years of monthly data. You estimate ∝=0,72, β=1,37, S2=20,38, σ2X=19,82 and μx=0,71. What are the standar errors of ∝ and β ?

You fit a CAPM that regresses the excess return of Coca-cola on the excess market return using 20 years of monthly data. You estimate ∝=0,72, β=1,37, S2=20,38, σ2X=19,82 and μx=0,71. What are the standar errors of ∝ and β ?

A First Course in Probability (10th Edition)

10th Edition

ISBN:9780134753119

Author:Sheldon Ross

Publisher:Sheldon Ross

Chapter1: Combinatorial Analysis

Section: Chapter Questions

Problem 1.1P: a. How many different 7-place license plates are possible if the first 2 places are for letters and...

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You fit a CAPM that regresses the excess return of Coca-cola on the excess market return using 20 years of monthly data. You estimate ∝=0,72, β=1,37, S²=20,38, σ²_X=19,82 and μ_x=0,71.

What are the standar errors of ∝ and β ?

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