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Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 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? xxxxxx

Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 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? xxxxxx

Intermediate Financial Management (MindTap Course List)
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter3: Risk And Return: Part Ii
Section: Chapter Questions
Problem 3P: Two-Asset Portfolio Stock A has an expected return of 12% and a standard deviation of 40%. Stock B...
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Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results:

RHD =-0.03+2.10RM+eHD

R-squared =0.7

RML =0.06+1.60RM+eML

R-squared =0.6

σM =0.15

where M is S&P/TSX Comp Index and RX is the excess return of stock X.  

  1. What is the systematic risk of each stock? xxxxxx

 

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