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taupeduck629Lv1
28 Sep 2019
5. Consider the two (excess return) index-model regression results for stocks A and B. The riskfree rate over the period was 8%, and the marketâs average return was 16%. Performance is measured using an index model regression on excess returns.
Stock A Stock B Index model regression estimates 1% + 1.2(rM â rf) 2% + .8(rM â rf) R-square 0.677 0.487 Residual standard deviation, Ï(e) 12% 20.8% Standard deviation of excess returns 23.3% 28.3%
Calculate the following statistics for each stock: (Round your answer to 4 decimal places. Omit the "%" sign in your response.)
Stock A Stock B i. Alpha __________ %? _________ %? ii. Information ratio __________ ? ________? iii. Sharpe measure __________ ? ________? iv. Treynor measure __________ ? ________?
5. Consider the two (excess return) index-model regression results for stocks A and B. The riskfree rate over the period was 8%, and the marketâs average return was 16%. Performance is measured using an index model regression on excess returns.
Stock A | Stock B | ||||||||||
Index model regression estimates | 1% + 1.2(rM â rf) | 2% + .8(rM â rf) | |||||||||
R-square | 0.677 | 0.487 | |||||||||
Residual standard deviation, Ï(e) | 12% | 20.8% | |||||||||
Standard deviation of excess returns | 23.3% | 28.3% | |||||||||
Calculate the following statistics for each stock: (Round your answer to 4 decimal places. Omit the "%" sign in your response.) |
Stock A | Stock B | ||||
i. | Alpha | __________ | %? | _________ | %? |
ii. | Information ratio | __________ | ? | ________? | |
iii. | Sharpe measure | __________ | ? | ________? | |
iv. | Treynor measure | __________ | ? | ________? |
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Elin HesselLv2
28 Sep 2019