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 is the 99% confidence interval for β ?
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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, σ2X=19,82 and μx=0,71.
What is the 99% confidence interval for β ?
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