Intermediate Financial Management
14th Edition
ISBN: 9780357516782
Author: Brigham, Eugene F., Daves, Phillip R.
Publisher: Cengage Learning
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An analyst gathered daily stock returns for February 1 through March 31, calculated the Fama-French factors for each day in the sample (SMBt and HML), and estimated the Fama-French regression model shown in Equation 6-21. The estimated coefficients were ai= 0, bi= 1.2, ci= -0.4, and di= 1.3. On April 1, the market return was 10%, the return on the SMB portfolio (rSMB) was 3.2%, and the return on the HML portfolio (rHML) was 4.8%. Using the estimated model, what was the stock’s predicted return for April 1?
The beta of Exxon stock has been estimated as 1.6 using regression analysis on a sample of historical returns. A commonly-used adjustment technique would provide an adjusted beta of
A. 1.20.
B. 1.40.
C. 1.32.
D. 1.13.
Using the following annual returns, calculate the estimates of the arithmetic mean returns, the
variances, and the standard deviations for assets X and Y. Also calculate the estimates of the
covariance and correlation between X and Y. These five years are a sample of the entire
population of returns for X and Y.
Year
2001
2002
2003
2004
2005
Returns
X
11%
6%
-8%
28%
13%
Y
36%
-7%
2%
-12%
43%
A stock has had returns over the past six years of 29%, 14%, 23%, -18%, 9%, and -14%. What
was its arithmetic mean and geometric mean returns over that period? What was the standard
deviation of its returns over this six-year period?
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