a) Calculate the main statistic measures to explain the relationship between stock A and the market portfolio: • The sample covariance between rate of return for the stock A and the market; • The sample Beta factor of stock A; • The sample correlation coefficient between the rates of return of the stock A and the market
a) Calculate the main statistic measures to explain the relationship between stock A and the market portfolio: • The sample covariance between rate of return for the stock A and the market; • The sample Beta factor of stock A; • The sample correlation coefficient between the rates of return of the stock A and the market
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 6P
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Question 1
Refer to the following observations for stock A and the market portfolio in the table:
Month Stock A Market portfolio
1 0.30 0.12
2 0.24 0.08
3 -0.04 -0.10
4 0.10 -0.02
5 0.06 0.08
6 0.10 0.07
a) Calculate the main statistic measures to explain the relationship between stock A and the market portfolio:
• The sample covariance between rate of return for the stock A and the market;
• The sample Beta factor of stock A;
• The sample correlation coefficient between the
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