Investments
11th Edition
ISBN: 9781259277177
Author: Zvi Bodie Professor, Alex Kane, Alan J. Marcus Professor
Publisher: McGraw-Hill Education
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Chapter 13, Problem 9PS
Summary Introduction
To determine: The hypothesis for a test of a second-pass regression for the two-factor SMLs.
Introduction: Analysts and financial specialists use market proxies as a major aspect of statistical examinations and portfolio demonstrating. Experts and speculators likewise use market proxies as benchmarks for contrasting the performance of a stock with that of the market.
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Expected
Standard
Stock
Return
Beta Deviation
A
B
12%
16
0.75
1.25
28%
37
The market index has a standard deviation of 22% and the risk-free rate is 9%.
Required:
a. What are the standard deviations of stocks A and B?
b. Suppose that we were to construct a portfolio with proportions:
Stock A
Stock B
T-bills
0.25
0.50
0.25
Compute the expected return, beta, nonsystematic standard deviation, and standard
deviation of the portfolio.
Complete this question by entering your answers in the tabs below.
Required A Required B
What are the standard deviations of stocks A and B?
Note: Do not round intermediate calculations. Round your answers to 2 decimal places.
Stock A
0.33 %
Stock B
0.46
%
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Could you explain what are the Biblical principles researchers that can follow to mitigate researcher bias?
How to use of Biblical ethics to synthesize the literature to avoid misrepresentation of the literature?
How researchers can demonstrate Biblical ethics when collecting and analyzing data?
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