YYYYMM Return(Stk1) Return(Stk2) Return(Market) Return(T-bill) 201701 7.75% 3.00% 6.18% 0.20% 201702 1.27% 2.12% 1.63% 0.20% 201703 7.63% 1.50% 1.56% 0.15% 201704 9.25% -1.01% 2.09% 0.30% 201705 10.20% 2.66% 4.25% 0.30% 201706 4.33% 2.59% 0.41% 0.30% 201707 12.25% 10.41% 6.05% 0.35% 201708 4.98% -2.94% 2.37% 0.45% 201709 2.19% -1.69% -1.49% 0.20% 201710 4.05% 3.43% 2.51% 0.20% 201711 13.78% 8.29% 3.30% 0.15% 201712 2.01% 1.96% 2.54% 0.30% 201801 14.19% 23.60% 9.92% 0.30% 201802 -6.77% -4.18% -6.21% 0.55% 201803 -5.23% -10.14% -2.44% 0.60% 201804 -4.54% 1.93% 2.38% 0.20% 201805 2.32% -1.32% -1.10% 0.20% 201806 -1.35% -7.01% -4.97% 0.15% 201807 -9.80% -1.86% -1.29% 0.30% 201808 -4.28% -1.95% -2.43% 0.30% 201809 -4.94% 0.27% -0.36% 0.75% 201810 -17.39% -7.14% -10.11% 0.30% 201811 16.85% 9.62% 6.11% 0.55% 201812 0.64% -0.61% -2.49% 0.60% 201901 10.19% 7.68% 8.11% 0.20% 201902 -2.95% 10.90% 2.47% 0.20% 201903 7.50% 2.26% 1.46% 0.20% 201904 7.48% -0.59% 2.23% 0.20% 201905 -15.75% -8.31% -9.42% 0.15% 201906 8.16% 10.59% 6.10% 0.30% 201907 4.42% -3.70% -2.68% 0.30% 201908 -11.79% -8.26% -7.39% 0.55% 201909 1.66% -4.17% 1.43% 0.15% 201910 -2.85% 6.52% 3.12% 0.15% 201911 3.43% 0.90% -2.08% 0.15% 201912 13.20% 2.35% 7.00% 0.15% Suppose that you form an equal-weighted portfolio from stocks Stk1 and Stk2. Which answer is the closest value to the abnormal return (alpha) on the portfolio?
YYYYMM Return(Stk1) Return(Stk2) Return(Market) Return(T-bill) 201701 7.75% 3.00% 6.18% 0.20% 201702 1.27% 2.12% 1.63% 0.20% 201703 7.63% 1.50% 1.56% 0.15% 201704 9.25% -1.01% 2.09% 0.30% 201705 10.20% 2.66% 4.25% 0.30% 201706 4.33% 2.59% 0.41% 0.30% 201707 12.25% 10.41% 6.05% 0.35% 201708 4.98% -2.94% 2.37% 0.45% 201709 2.19% -1.69% -1.49% 0.20% 201710 4.05% 3.43% 2.51% 0.20% 201711 13.78% 8.29% 3.30% 0.15% 201712 2.01% 1.96% 2.54% 0.30% 201801 14.19% 23.60% 9.92% 0.30% 201802 -6.77% -4.18% -6.21% 0.55% 201803 -5.23% -10.14% -2.44% 0.60% 201804 -4.54% 1.93% 2.38% 0.20% 201805 2.32% -1.32% -1.10% 0.20% 201806 -1.35% -7.01% -4.97% 0.15% 201807 -9.80% -1.86% -1.29% 0.30% 201808 -4.28% -1.95% -2.43% 0.30% 201809 -4.94% 0.27% -0.36% 0.75% 201810 -17.39% -7.14% -10.11% 0.30% 201811 16.85% 9.62% 6.11% 0.55% 201812 0.64% -0.61% -2.49% 0.60% 201901 10.19% 7.68% 8.11% 0.20% 201902 -2.95% 10.90% 2.47% 0.20% 201903 7.50% 2.26% 1.46% 0.20% 201904 7.48% -0.59% 2.23% 0.20% 201905 -15.75% -8.31% -9.42% 0.15% 201906 8.16% 10.59% 6.10% 0.30% 201907 4.42% -3.70% -2.68% 0.30% 201908 -11.79% -8.26% -7.39% 0.55% 201909 1.66% -4.17% 1.43% 0.15% 201910 -2.85% 6.52% 3.12% 0.15% 201911 3.43% 0.90% -2.08% 0.15% 201912 13.20% 2.35% 7.00% 0.15% Suppose that you form an equal-weighted portfolio from stocks Stk1 and Stk2. Which answer is the closest value to the abnormal return (alpha) on the portfolio?
Fundamentals of Financial Management (MindTap Course List)
15th Edition
ISBN:9781337395250
Author:Eugene F. Brigham, Joel F. Houston
Publisher:Eugene F. Brigham, Joel F. Houston
Chapter4: Analysis Of Financial Statements
Section: Chapter Questions
Problem 24P: Income Statement for Year Ended December 31, 2018 (Millions of Dollars) Net sales 795.0 Cost of...
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| YYYYMM | Return(Stk1) | Return(Stk2) | Return(Market) | Return(T-bill) |
| 201701 | 7.75% | 3.00% | 6.18% | 0.20% |
| 201702 | 1.27% | 2.12% | 1.63% | 0.20% |
| 201703 | 7.63% | 1.50% | 1.56% | 0.15% |
| 201704 | 9.25% | -1.01% | 2.09% | 0.30% |
| 201705 | 10.20% | 2.66% | 4.25% | 0.30% |
| 201706 | 4.33% | 2.59% | 0.41% | 0.30% |
| 201707 | 12.25% | 10.41% | 6.05% | 0.35% |
| 201708 | 4.98% | -2.94% | 2.37% | 0.45% |
| 201709 | 2.19% | -1.69% | -1.49% | 0.20% |
| 201710 | 4.05% | 3.43% | 2.51% | 0.20% |
| 201711 | 13.78% | 8.29% | 3.30% | 0.15% |
| 201712 | 2.01% | 1.96% | 2.54% | 0.30% |
| 201801 | 14.19% | 23.60% | 9.92% | 0.30% |
| 201802 | -6.77% | -4.18% | -6.21% | 0.55% |
| 201803 | -5.23% | -10.14% | -2.44% | 0.60% |
| 201804 | -4.54% | 1.93% | 2.38% | 0.20% |
| 201805 | 2.32% | -1.32% | -1.10% | 0.20% |
| 201806 | -1.35% | -7.01% | -4.97% | 0.15% |
| 201807 | -9.80% | -1.86% | -1.29% | 0.30% |
| 201808 | -4.28% | -1.95% | -2.43% | 0.30% |
| 201809 | -4.94% | 0.27% | -0.36% | 0.75% |
| 201810 | -17.39% | -7.14% | -10.11% | 0.30% |
| 201811 | 16.85% | 9.62% | 6.11% | 0.55% |
| 201812 | 0.64% | -0.61% | -2.49% | 0.60% |
| 201901 | 10.19% | 7.68% | 8.11% | 0.20% |
| 201902 | -2.95% | 10.90% | 2.47% | 0.20% |
| 201903 | 7.50% | 2.26% | 1.46% | 0.20% |
| 201904 | 7.48% | -0.59% | 2.23% | 0.20% |
| 201905 | -15.75% | -8.31% | -9.42% | 0.15% |
| 201906 | 8.16% | 10.59% | 6.10% | 0.30% |
| 201907 | 4.42% | -3.70% | -2.68% | 0.30% |
| 201908 | -11.79% | -8.26% | -7.39% | 0.55% |
| 201909 | 1.66% | -4.17% | 1.43% | 0.15% |
| 201910 | -2.85% | 6.52% | 3.12% | 0.15% |
| 201911 | 3.43% | 0.90% | -2.08% | 0.15% |
| 201912 | 13.20% | 2.35% | 7.00% | 0.15% |
Suppose that you form an equal-weighted portfolio from stocks Stk1 and Stk2. Which answer is the closest value to the abnormal return (alpha) on the portfolio?
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