Average monthly market return

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Reference no: EM13971635

The single index model has been estimated for a particular security is estimated for a particular security with the following results:

Ra = .01 + .50Rm + Ea

Rb = .02 + 1.30Rm + Eb

The standard deviation of the market return was .25

Variable	R2	A?A?
Ra	X	0.217
Rb	0.36	X

a. What is the R2 for firm A?

b. What is the A?A? for firm B?What is the R2 for firm A?

c. A portfolio which is 60% security A and 40% security B would have a beta of . . . ?

d. Provide an estimate of A?‚® for security A assuming that the average monthly market return was .015 (decimal), and the average T-Bill rate was .005. What is the R2 for firm A?

Reference no: EM13971635

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