19You run a regression for a stock's return on a market index and find the following Exceloutput:Multiple R0.353R-Square0.12pointsAdjusted R-Square0.02Standard Error38.45eBookObservations12ReferencesInterceptMarketStandardCoefficients Error t-Stat p-Value4.051.3215.440.260.800.971.360.10of the variance is explained by this regression.Multiple Choice12.00%

Approach to solving the question:Understand the provided information: Review the given output, which…

Answered: 19 You run a regression for a stock's…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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You run a regression for a stock's return on a market index and find the following Excel output: Multiple R 0.35 R-Square 0.12 Adjusted R-Square 0.02 Standard Error 38.45 Observations 12 Coefficients Standard Error t-Stat p-Value Intercept 4.05 15.44 0.26 0.80 Market 1.32 0.97 1.36 0.10 The stock is ________ riskier than the typical stock
Q4: Assume the following information for stocks A and B. • Expected return on Stock A = 18%. • Expected return on Stock B = 23%. • Correlation between returns of Stock A and Stock B = 0.10. • Standard deviation of returns on Stock A = 40%. • Standard deviation of returns on Stock B = 50%. Compute The expected return Standard deviation
What is the reward-to-risk ratio for Stock X, in decimal form? Round your answer to 4 decimal places (example: if your answer is .03579, you should enter .0358). Margin of error for correct responses: +/- .0005. expected return (implied by market price) Beta Stock X 9.6% 1.46 S&P500 12% ? T-bills 4% ?
11-1 Calculate the standard deviation of returns of Stock Q, given the following information. State Stock return Probability of state Recession –5% 25% Normal 10% 50% Boom 25% 25% Select one: a. 10.61% b. 9.53% c. 8.96% d. 7.33% e. 6.30%
Stock A Stock BRate of Return Probability Rate of Return Probability14 0.15 20 0.2016 0.20 18 0.1817 0.30 16 0.3219 0.15 14 0.1420 0.20 10 0.16 a. Calculate the expected return for both stock A and stock B b. Calculate the standard deviation for both stock A and stock B c. Calculate the coefficient of variation for both stock A and stock B.
How to start this question? g) Use the following two stocks. Scenario Probability Stock A Stock B Boom 30% 12% 20% Recession 70% 18% 5% i) Find the expected return on each stock. ii) Find the standard deviation of each stock. iii) Find the covariance between two stocks.
Suppose that the index model for stocks A and B is estimated from excess returns with the following results:RA = 3% + .7RM + eARB = −2% + 1.2RM + eBσM = 20%; R-squareA = .20; R-squareB = .12What is the covariance between each stock and the market index?
12. • A researcher obtained the following results for a stock price: Pt = 0,999Pt-1 + εt with R2=0,99 and εt is white noise. According to the above estimation, is the market for the specific stock efficient?
If Stock I is correctly priced right now, its Beta must be ______ . Round your answer to 2 decimal places (example: if your answer is 1.2357, you should enter 1.24). Margin of error for correct responses: +/- .02. expected return (implied by market price) Beta Stock I 12.4% ?? S&P500 11% T-bonds 4%
Stock i’s standard deviation35.00%Market’s standard deviation32.00%Correlation between Stock i and the market0.65Beta coefficient of Stock i:
The index model has been estimated for stocks A and B with the following results: RA = 0.12 + 0.610RM + eA RB = 0.04 + 1.416RM + eB σM = 0.270 σ(eA) = 0.20 σ(eB) = 0.10 What is the covariance between each stock and the market index?
XYQ Co. believes the following probability distribution exists for its stock. What is thecoefficient of variation on the company's stock? (Please state your answer in 2 decimal digitpoints)Economy Probability Return (%)Boom 0.45 25Normal 0.50 15Recession 0.05 5

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