INV 2-3a Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =0.02+0.80RM+eHD R-squared =0.6 RML =-0.03+1.50RM+eML R-squared =0.4 σM =0.20 where M is S&P/TSX Comp Index and RX is the excess return of stock X. a. What is the standard deviation of each stock? (Hint: bi = (ρiM σi) / σM.)
INV 2-3a Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =0.02+0.80RM+eHD R-squared =0.6 RML =-0.03+1.50RM+eML R-squared =0.4 σM =0.20 where M is S&P/TSX Comp Index and RX is the excess return of stock X. a. What is the standard deviation of each stock? (Hint: bi = (ρiM σi) / σM.)
Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
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Chapter2: Systems Of Linear Equations
Section2.4: Applications
Problem 2EQ: 2. Suppose that in Example 2.27, 400 units of food A, 500 units of B, and 600 units of C are placed...
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INV 2-3a
Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results:
RHD =0.02+0.80RM+eHD
R-squared =0.6
RML =-0.03+1.50RM+eML
R-squared =0.4
σM =0.20
where M is S&P/TSX Comp Index and RX is the excess return of stock X.
a. What is the standard deviation of each stock? (Hint: bi = (ρiM σi) / σM.)
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