1.2. Refer to the following observations for stock A and the market portfolio in the table: Month Rate of return Stock A 0,30 Market portfolio 0,12 1 0,08 -0,10 -0,02 0.24 3 -0,04 4 0,10 0,06 5 0,08 0,10 0,07 a) Calculate the main statistic measures to explain the relationship between stock A and the market portfolio: i) The sample covariance between rate of return for the stock A and the market. ii) The sample Beta factor of stock A. iii) The sample correlation coefficient between the rates of return of the stock A and
1.2. Refer to the following observations for stock A and the market portfolio in the table: Month Rate of return Stock A 0,30 Market portfolio 0,12 1 0,08 -0,10 -0,02 0.24 3 -0,04 4 0,10 0,06 5 0,08 0,10 0,07 a) Calculate the main statistic measures to explain the relationship between stock A and the market portfolio: i) The sample covariance between rate of return for the stock A and the market. ii) The sample Beta factor of stock A. iii) The sample correlation coefficient between the rates of return of the stock A and
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter2: Risk And Return: Part I
Section: Chapter Questions
Problem 6P: The market and Stock J have the following probability distributions: a. Calculate the expected rates...
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