None You've observed the following returns on Pine Computer's stock over the past fiveyears: -28.5 percent, 16 percent, 35 percent, 3.5 percent, and 22.5 percent. Theaverage inflation rate over this period was 3.35 percent and the average T-bill rate overthe period was 4.3 percent.a. What was the average real risk-free rate over this time period?Note: Do not round intermediate calculations and enter your answer as apercent rounded to 2 decimal places, e.g., 32.16.b. What was the average real risk premium?Note: Do not round intermediate calculations and enter your answer as apercent rounded to 2 decimal places, e.g., 32.16.Answer is not complete.a. Average real risk-free rateb. Average real risk premium0.93%%

Answered: You've observed the following returns…

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 17P

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Please provide written/detailed calculations and relavant explanation
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You believe that the VIX trades in regimes where its average level is significantly different. You define four regimes from 2004 through 2021 June 2008 through October 2011 (financial crisis): February 2020 through March 2021 (the COVID-19 crisin); the 12-month transition periods before and after the financial crisis and the current transition period after the COVID-19 crisis and the remaining periods of low volatility. In order to test your hypothesis, you examine month-end values of the VIX from January 2004 through October 2021 (214 observations) and conduct the following regression: Dependent variable Y Month-end value of VIX Dummy variable X1 Financial Crisis 1 if between June 2008 through Oct 2011,0 if not Dummy variable X2.COVID-19 crisis: 1 if between Feb 2020 through March 2021, Dummy variable X2 Transition period 1 if in 12 months before or after the financial crisis orthe current period since the COVID-19 crisis (June 2007 May 2008, Nov 2011-Oct 2012 or April 2021-Oct…

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