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. What is the systematic risk of each stock?
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. What is the systematic risk of each stock?
Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter2: Systems Of Linear Equations
Section2.4: Applications
Problem 6EQ: Redo Exercise 5, assuming that the house blend contains 300 grams of Colombian beans, 50 grams of...
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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.
What is the systematic risk of each stock?
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