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XYZ Corp's returns have a covariance with the returns of the S&P500 of -0.26. The returns...

XYZ Corp's returns have a covariance with the returns of the S&P500 of -0.26. The returns of the S&P500 have a standard deviation of 0.58. What is XYZ's CAPM beta?

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Answer #1

= Cov ( s,m ) / Var (m)

Cov (s,m) = Covarance between asset and market

Var (m) = Variance of the market

Cov (s,m) = - 0.26

standerd deviation = 0.58

variance = 0.582 = 0.3364

= Cov ( s,m ) / Var (m)

= -0.26 / 0.3364

= -0.7724

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