HW chp 6 week 2 FIN 550

HW chp 6 week 2 FIN 550

1.Compute the abnormal rates of return for the following stocks during periodt(ignore dif-ferential systematic risk):StockRitRmtB11.5% 4.0%F10.0 8.5T14.0 9.6C12.0 15.3E15.9 12.4Rit=return for stock iduring period tRmt=return for the aggregate market during period t2.Compute the abnormal rates of return for the five stocks in Problem 1 assuming the fol-lowing systematic risk measures (betas):Stock??iB0.95F1.25T1.45C0.70E??0.303.Compare the abnormal returns in Problems 1 and 2 and discuss the reason for the differ-ence in each case.Chapter 6:Efficient Capital Markets179


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