Business, 13.04.2021 01:20 lilyrockstarmag

4) Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 6%, and the market’s average return was 13%. Performance is measured using an index model regression on excess returns. Assume alpha for stock A and stock B is 1% and 2% respectively Stock A Stock B Index model regression estimates 1% + 1.2(rM − rf) 2% + 0.8(rM − rf) R-square 0.588 0.442 Residual standard deviation, σ(e) 10.5% 19.3% Standard deviation of excess returns 21.8% 25.3% Calculate the following statistics for each stock (use whole percent values, 1%, not 0.01 for example, for your calculations): a) Information Ratio b) Sharpe Ratio c) Treynor Measure

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4) Consider the two (excess return) index-model regression results for stocks A and B. The risk-free...

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