Son 20 yln aylk verilerini kullanarak piyasa portfynn aylk fazla getirisi zerinde ABC'nin aylk fazla...
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Son 20 yln aylk verilerini kullanarak piyasa portfynn aylk fazla getirisi zerinde ABC'nin aylk fazla getirisinin dorusal bir regresyonunu yaptnz varsayalm. Regresyon analizinin sonucu bize aadaki lineer regresyon modelinin alfa ve beta tahminlerini verecektir.
R ben - R f = alfa ben + beta ben (R mkt - R f ) + e ben
Risksiz orann %5 olduunu, piyasa portfynn beklenen getirisinin %12 olduunu, piyasa portfynn standart getirisinin %44 olduunu, ABC'nin hisse senedi getirisinin standart sapmasnn %68 olduunu ve piyasa ile korelasyonunun olduunu varsayalm. 0.91'dir.
CAPM'nin bireysel hisse senedi getirilerini mkemmel bir ekilde aklayabildiini varsayarsak,
A) ABC hissesindeki alfa = _______
B) ABC hissesinin betas = ________
C) ABC hissesinin beklenen getirisi = ________
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