Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and themarket's average return was 14%. Performance is measured using an index model regression on excess returns.Index model regression estimatesR-squareResidual standard deviation, o(e)Standard deviation of excess returnsStock A1% +1.2(rm - rf)Stock B2% +0.8(rm – rf)0.6350.46611.3%22.6%20.1%26.9%Required:a. Calculate the following statistics for each stock:b. Which stock is the best choice under the following circumstances?Complete this question by entering your answers in the tabs below.Required ARequired BCalculate the following statistics for each stock:Note: Round your answers to 4 decimal places.i. Alphaii. Information ratioiii. Sharpe ratioiv. Treynor measureStock AStock B%%< Required ARequired B >

Market return = 14%Risk free rate = 7%To find: Alpha, Information ratio, Sharpe ratio, and Treynor…

Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Stock A 1% +1.2(rm -rf) Stock B 0.635 11.3% 22.6% 2% +0.8(rm -rf) 0.466 20.1% 26.9% Standard deviation of excess returns Required: a. Calculate the following statistics for each stock: b. Which stock is the best choice under the following circumstances? Complete this question by entering your answers in the tabs below. Required A Required B Calculate the following statistics for each stock:

Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Stock A 1% +1.2(rm -rf) Stock B 0.635 11.3% 22.6% 2% +0.8(rm -rf) 0.466 20.1% 26.9% Standard deviation of excess returns Required: a. Calculate the following statistics for each stock: b. Which stock is the best choice under the following circumstances? Complete this question by entering your answers in the tabs below. Required A Required B Calculate the following statistics for each stock:

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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