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How do you compute 3 day excess return and two day excess return? Return Index Market...
How do you compute 3 day excess return and two day excess return?
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Consider the two (excess return) index-model regression results
for stocks A and B. The risk-free rate over the
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Stock A
Stock B
Index model regression estimates
0.5% + 1.1(Rm - Rf)
0.8% + 0.9(Rm - Rf)
R-square
0.594
0.445
Residual standard deviation
5.60%
9.40%
Standard deviation of excess returns
16.90%
19.50%
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results
for stocks A and B. The risk-free rate over the period was 8%, and
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an index model regression on excess returns.
Stock
A
Stock
B
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estimates
1% +
1.2(rM ? rf)
2% +
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R-square
0.659
0.478
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?(e)
11.7%
20.5%
Standard deviation of excess
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27.7%
a. Calculate the following statistics for each...
Consider the two (excess return) index model regression results for A and B: RA = –1.5%...
Consider the two (excess return) index model regression results
for A and B:
RA = –1.5% + 1.3RM
R-square = 0.658
Residual standard deviation = 13.2%
RB = 0.8% + 0.95RM
R-square = 0.596
Residual standard deviation = 11.8%
a. Which stock has more firm-specific
risk?
Stock A
Stock B
b. Which stock has greater market risk?
Stock A
Stock B
c. For which stock does market movement has a
greater fraction of return variability?
Stock A
Stock B
d....
Consider the two (excess return) index model regression results for A and B: RA = 0.8%...
Consider the two (excess return) index model regression results
for A and B:
RA = 0.8% + 1RM
R-square = 0.588
Residual standard deviation = 10.8%
RB = –1.2% + 0.7RM
R-square = 0.452
Residual standard deviation = 9%
a. Which stock has more firm-specific risk?
Stock A
Stock B
b. Which stock has greater market risk?
Stock A
Stock B
c. For which stock does market movement has a
greater fraction of return variability?
Stock A
Stock B
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You run a regression of a stock's excess return on the market's excess return. The resulting...
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Consider the two (excess return) index model regression results for A and B: RA = 0.7%...
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RA = 0.7% + 1.1RM
R-square = 0.584
Residual standard deviation = 10.6%
RB = –1% + 1RM
R-square = 0.444
Residual standard deviation = 8.9%
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A?
Compute the Arms index for the S&P 500 over the following 3 days: Day Number of...
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Day
Number of Stocks Rising in Price
Number of Stocks Falling in Price
Volume for Stocks Rising in Price
Volume for Stocks Falling in Price
1
352
148
848
million shares
424
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2
279
221
449
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724
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3
259
241
853
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416
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0.97.
Year
Fund
Market
Risk-Free
2011
–22.4
%
–42.5
%
3
%
2012
25.1
21.3
5
2013
14.2
14.8
2
2014
6.6
8.8
6
2015
–2.28
–5.2
3
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to...
You have been given the following return information for a mutual fund, the market index, and...
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know that the return correlation between the fund and the market is
0.97.
Year
Fund
Market
Risk-Free
2011
–15.06
%
–26.5
%
3
%
2012
25.1
19.7
5
2013
12.6
10.0
2
2014
6.6
7.6
4
2015
–1.32
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3
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