Q1. Consider the two (excess return) index-model regression results for stocks A and B. ...
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Q Consider the two excess return indexmodel regression results for stocks A and B The risk free rate over the period was and the markets average return was Performance is measured using an index model regression on excess returns. Stock A Stock B Index Model Regression Estimates Rm RfRm Rf Rsquare Residual standard deviation, e Standard deviation of excess returns a Calculate the following statistics for each stock: i Jensens Alpha ii Information ratio iii. Sharpe ratio iv Treynor measure
Q Consider the two excess return indexmodel regression results for stocks A and B The risk free rate over the period was and the markets average return was Performance is measured using an index model regression on excess returns.
Stock A Stock B
Index Model Regression Estimates Rm RfRm Rf
Rsquare
Residual standard deviation, e
Standard deviation of excess returns
a Calculate the following statistics for each stock:
i Jensens Alpha
ii Information ratio
iii. Sharpe ratio
iv Treynor measure
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