Unformatted text preview: According to CAPM, Disney’s alpha should not be signiFcantly di f erent from zero. Moreover, if the market is perfectly e ﬃ cient, Disney’s alpha should be zero. • This alpha estimation for Disney is consistent with CAPM, even though it is not zero. This just implies that the market performance measured by S&P 500 is not perfectly e ﬃ cient, but it is very close to be perfectly e ﬃ cient. 6. Interpret R 2 • Adjusted R2 in the regression = 0.2007 • According to CAPM, R2 indicates the ratio of market risk over total risk of the Disney stock. This further implies that Disney’s Frm-speciFc risk is 4 times as large as the market risk measured by S&P 500 . DATA CASE #3 NOV.19TH, 2010...
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This note was uploaded on 05/04/2011 for the course BUS 103 taught by Professor Opp during the Fall '10 term at Berkeley.
- Fall '10