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B4B 1 2 13 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 A The following table contains the excess monthly returns for three companies and the market index. Month ED 1/1/2007 2/1/2007 3/1/2007 4/1/2007 5/1/2007 6/1/2007 7/1/2007 8/1/2007 9/1/2007 10/1/2007 11/1/2007 12/1/2007 1/1/2008 2/1/2008 3/1/2008 4/1/2008 5/1/2008 6/1/2008 7/1/2008 8/1/2008 9/1/2008 10/1/2008 11/1/2008 12/1/2008 1/1/2009 2/1/2009 3/1/2009 4/1/2009 5/1/2009 6/1/2009 7/1/2009 8/1/2009 9/1/2009 10/1/2009 11/1/2009 12/1/2009 47 Return 48 Vogt Industries 49 Isher Corporation Vogt Industries 50 Hedrock, Incorporated 51 Market Variance 52 0.0784 -0.0313 -0.0066 0.0150 0.0334 0.1257 -0.1006 -0.0858 0.0838 0.0415 -0.1561 -0.1054 -0.0157 -0.0183 -0.1251 0.4430 -0.1782 -0.2942 -0.0034 -0.0723 0.1650 -0.5794 0.2282 -0.1487 -0.1835 0.0693 0.3148 1.2736 -0.0386 0.0555 0.3178 -0.0501 -0.0514 -0.0292 0.2700 0.1248 Isher Corporation Hedrock, Incorporated -0.0193 -0.0258 -0.0004 -0.0064 Covariance with Market 0.0265 0.0088 -0.0277 0.0166 0.0037 -0.0050 0.0069 -0.0489 -0.0492 -0.0028 0.0325 0.0568 -0.0056 0.0652 -0.0244 0.0661 0.0995 -0.0015 -0.0282 0.0417 44 45 (Use cells A5 to E40 from the given information to complete this question.) 46 0.0103 0.0129 -0.0687 0.0011 0.0074 -0.1595 0.0447 0.0634 -0.0328 -0.0078 -0.0263 0.0296 0.0252 -0.0351 0.0120 0.0980 -0.0152 Beta 0.0033 -0.0397 -0.0341 0.0652 0.0013 -0.0428 -0.0473 -0.0942 0.0678 1.00 -0.1017 -0.0310 -0.0108 -0.0955 -0.2809 0.3769 -0.0549 0.1436 -0.3100 -0.3278 -0.1139 -0.5328 -0.3999 0.7289 0.3093 0.2619 0.1720 0.1203 0.1892 -0.0376 -0.1384 0.0871 -0.0493 E Market Index 0.0153 -0.0182 0.0088 0.0358 0.0350 -0.0186 -0.0358 0.0081 0.0376 0.0226 Required: Using the monthly excess returns above, calculate the stocks' covariance with the market and their betas. (Note: the covariance of the market with the market is just its variance.] -0.0521 -0.0069 -0.0644 -0.0234 -0.0115 0.0500 0.0224 -0.0800 -0.0147 0.0091 -0.0989 -0.1852 -0.0848 0.0221 -0.0774 -0.1005 0.0865 0.1092 0.0676 -0.0032 0.0816 0.0313 0.0451 -0.0281 0.0571 0.0284 F G H

B4B 1 2 13 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 A The following table contains the excess monthly returns for three companies and the market index. Month ED 1/1/2007 2/1/2007 3/1/2007 4/1/2007 5/1/2007 6/1/2007 7/1/2007 8/1/2007 9/1/2007 10/1/2007 11/1/2007 12/1/2007 1/1/2008 2/1/2008 3/1/2008 4/1/2008 5/1/2008 6/1/2008 7/1/2008 8/1/2008 9/1/2008 10/1/2008 11/1/2008 12/1/2008 1/1/2009 2/1/2009 3/1/2009 4/1/2009 5/1/2009 6/1/2009 7/1/2009 8/1/2009 9/1/2009 10/1/2009 11/1/2009 12/1/2009 47 Return 48 Vogt Industries 49 Isher Corporation Vogt Industries 50 Hedrock, Incorporated 51 Market Variance 52 0.0784 -0.0313 -0.0066 0.0150 0.0334 0.1257 -0.1006 -0.0858 0.0838 0.0415 -0.1561 -0.1054 -0.0157 -0.0183 -0.1251 0.4430 -0.1782 -0.2942 -0.0034 -0.0723 0.1650 -0.5794 0.2282 -0.1487 -0.1835 0.0693 0.3148 1.2736 -0.0386 0.0555 0.3178 -0.0501 -0.0514 -0.0292 0.2700 0.1248 Isher Corporation Hedrock, Incorporated -0.0193 -0.0258 -0.0004 -0.0064 Covariance with Market 0.0265 0.0088 -0.0277 0.0166 0.0037 -0.0050 0.0069 -0.0489 -0.0492 -0.0028 0.0325 0.0568 -0.0056 0.0652 -0.0244 0.0661 0.0995 -0.0015 -0.0282 0.0417 44 45 (Use cells A5 to E40 from the given information to complete this question.) 46 0.0103 0.0129 -0.0687 0.0011 0.0074 -0.1595 0.0447 0.0634 -0.0328 -0.0078 -0.0263 0.0296 0.0252 -0.0351 0.0120 0.0980 -0.0152 Beta 0.0033 -0.0397 -0.0341 0.0652 0.0013 -0.0428 -0.0473 -0.0942 0.0678 1.00 -0.1017 -0.0310 -0.0108 -0.0955 -0.2809 0.3769 -0.0549 0.1436 -0.3100 -0.3278 -0.1139 -0.5328 -0.3999 0.7289 0.3093 0.2619 0.1720 0.1203 0.1892 -0.0376 -0.1384 0.0871 -0.0493 E Market Index 0.0153 -0.0182 0.0088 0.0358 0.0350 -0.0186 -0.0358 0.0081 0.0376 0.0226 Required: Using the monthly excess returns above, calculate the stocks' covariance with the market and their betas. (Note: the covariance of the market with the market is just its variance.] -0.0521 -0.0069 -0.0644 -0.0234 -0.0115 0.0500 0.0224 -0.0800 -0.0147 0.0091 -0.0989 -0.1852 -0.0848 0.0221 -0.0774 -0.1005 0.0865 0.1092 0.0676 -0.0032 0.0816 0.0313 0.0451 -0.0281 0.0571 0.0284 F G H

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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B4B 1 2 13 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 A The following table contains the excess monthly returns for three companies and the market index. Month ED 1/1/2007 2/1/2007 3/1/2007 4/1/2007 5/1/2007 6/1/2007 7/1/2007 8/1/2007 9/1/2007 10/1/2007 11/1/2007 12/1/2007 1/1/2008 2/1/2008 3/1/2008 4/1/2008 5/1/2008 6/1/2008 7/1/2008 8/1/2008 9/1/2008 10/1/2008 11/1/2008 12/1/2008 1/1/2009 2/1/2009 3/1/2009 4/1/2009 5/1/2009 6/1/2009 7/1/2009 8/1/2009 9/1/2009 10/1/2009 11/1/2009 12/1/2009 47 Return 48 Vogt Industries 49 Isher Corporation Vogt Industries 50 Hedrock, Incorporated 51 Market Variance 52 0.0784 -0.0313 -0.0066 0.0150 0.0334 0.1257 -0.1006 -0.0858 0.0838 0.0415 -0.1561 -0.1054 -0.0157 -0.0183 -0.1251 0.4430 -0.1782 -0.2942 -0.0034 -0.0723 0.1650 -0.5794 0.2282 -0.1487 -0.1835 0.0693 0.3148 1.2736 -0.0386 0.0555 0.3178 -0.0501 -0.0514 -0.0292 0.2700 0.1248 Isher Corporation Hedrock, Incorporated -0.0193 -0.0258 -0.0004 -0.0064 Covariance with Market 0.0265 0.0088 -0.0277 0.0166 0.0037 -0.0050 0.0069 -0.0489 -0.0492 -0.0028 0.0325 0.0568 -0.0056 0.0652 -0.0244 0.0661 0.0995 -0.0015 -0.0282 0.0417 44 45 (Use cells A5 to E40 from the given information to complete this question.) 46 0.0103 0.0129 -0.0687 0.0011 0.0074 -0.1595 0.0447 0.0634 -0.0328 -0.0078 -0.0263 0.0296 0.0252 -0.0351 0.0120 0.0980 -0.0152 Beta 0.0033 -0.0397 -0.0341 0.0652 0.0013 -0.0428 -0.0473 -0.0942 0.0678 1.00 -0.1017 -0.0310 -0.0108 -0.0955 -0.2809 0.3769 -0.0549 0.1436 -0.3100 -0.3278 -0.1139 -0.5328 -0.3999 0.7289 0.3093 0.2619 0.1720 0.1203 0.1892 -0.0376 -0.1384 0.0871 -0.0493 E Market Index 0.0153 -0.0182 0.0088 0.0358 0.0350 -0.0186 -0.0358 0.0081 0.0376 0.0226 Required: Using the monthly excess returns above, calculate the stocks' covariance with the market and their betas. (Note: the covariance of the market with the market is just its variance.] -0.0521 -0.0069 -0.0644 -0.0234 -0.0115 0.0500 0.0224 -0.0800 -0.0147 0.0091 -0.0989 -0.1852 -0.0848 0.0221 -0.0774 -0.1005 0.0865 0.1092 0.0676 -0.0032 0.0816 0.0313 0.0451 -0.0281 0.0571 0.0284 F G H
Transcribed Image Text:B4B 1 2 13 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 A The following table contains the excess monthly returns for three companies and the market index. Month ED 1/1/2007 2/1/2007 3/1/2007 4/1/2007 5/1/2007 6/1/2007 7/1/2007 8/1/2007 9/1/2007 10/1/2007 11/1/2007 12/1/2007 1/1/2008 2/1/2008 3/1/2008 4/1/2008 5/1/2008 6/1/2008 7/1/2008 8/1/2008 9/1/2008 10/1/2008 11/1/2008 12/1/2008 1/1/2009 2/1/2009 3/1/2009 4/1/2009 5/1/2009 6/1/2009 7/1/2009 8/1/2009 9/1/2009 10/1/2009 11/1/2009 12/1/2009 47 Return 48 Vogt Industries 49 Isher Corporation Vogt Industries 50 Hedrock, Incorporated 51 Market Variance 52 0.0784 -0.0313 -0.0066 0.0150 0.0334 0.1257 -0.1006 -0.0858 0.0838 0.0415 -0.1561 -0.1054 -0.0157 -0.0183 -0.1251 0.4430 -0.1782 -0.2942 -0.0034 -0.0723 0.1650 -0.5794 0.2282 -0.1487 -0.1835 0.0693 0.3148 1.2736 -0.0386 0.0555 0.3178 -0.0501 -0.0514 -0.0292 0.2700 0.1248 Isher Corporation Hedrock, Incorporated -0.0193 -0.0258 -0.0004 -0.0064 Covariance with Market 0.0265 0.0088 -0.0277 0.0166 0.0037 -0.0050 0.0069 -0.0489 -0.0492 -0.0028 0.0325 0.0568 -0.0056 0.0652 -0.0244 0.0661 0.0995 -0.0015 -0.0282 0.0417 44 45 (Use cells A5 to E40 from the given information to complete this question.) 46 0.0103 0.0129 -0.0687 0.0011 0.0074 -0.1595 0.0447 0.0634 -0.0328 -0.0078 -0.0263 0.0296 0.0252 -0.0351 0.0120 0.0980 -0.0152 Beta 0.0033 -0.0397 -0.0341 0.0652 0.0013 -0.0428 -0.0473 -0.0942 0.0678 1.00 -0.1017 -0.0310 -0.0108 -0.0955 -0.2809 0.3769 -0.0549 0.1436 -0.3100 -0.3278 -0.1139 -0.5328 -0.3999 0.7289 0.3093 0.2619 0.1720 0.1203 0.1892 -0.0376 -0.1384 0.0871 -0.0493 E Market Index 0.0153 -0.0182 0.0088 0.0358 0.0350 -0.0186 -0.0358 0.0081 0.0376 0.0226 Required: Using the monthly excess returns above, calculate the stocks' covariance with the market and their betas. (Note: the covariance of the market with the market is just its variance.] -0.0521 -0.0069 -0.0644 -0.0234 -0.0115 0.0500 0.0224 -0.0800 -0.0147 0.0091 -0.0989 -0.1852 -0.0848 0.0221 -0.0774 -0.1005 0.0865 0.1092 0.0676 -0.0032 0.0816 0.0313 0.0451 -0.0281 0.0571 0.0284 F G H
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