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Preview of �Class Note 4_F2011.ppt�

Preview of �Class Note 4_F2011.ppt� - #$)$...

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email protected]<&== 4 (3) F) '))&.4 '+C)$"&.4 C+3) ')3&+8' $"#. ')#'+.#* F)#6.)'' &. '$+,6'/ P"\ H, F3D) =<X:] H) %^; 019R+,- _>19-+90E F93? ,H)7+ 4^; <&&` DAX and CAC40 are down 25% P"\ F3D) <`XW] O93. H-, ?+1Q H) A?9H0 5 C3D F3 D+ F+G)+ 1) 3a7H10 8+19 .19Q+- I /1)1FH1) ,-37Q .19Q+- H, >)F+9?+9O39.H)R -K+ [" !"# %%& B23-+ 4 ' @100 <&== W "+7-39 93-1M3) 73)M)>+, -3 .3*+ 1D1E O93. 7E70H710, !"# <%&<B23-+ [email protected]<&== :
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!"# <%&<B23-+ [email protected]<&== V 7#$ $3#?)3' ,+.9&,$)? &. 5"#.4"#& H )3+?)' &.9)'$+3 ,+.I?).,) Rats and black mouths gnaw at China stocks | Investing | Financial Post !+*H+D !+R9+,,H3), !"# %%& B23-+ 4 ' @100 <&== ` # =.$)3,)B$ @ J?)B).?).$ 9#3&#K*)L M J3)43)''+3L !+R9+,, b 3) \ -3 G)F -K+ 8+,- Gc)R 0H)+d @ N # O KM OP PK+ H)-+97+?- Z1e H, 1 73),-1)-Y b f1 DK+) -K+ *10>+ 3O \f& <K$#&. $") )'-C#$)' +1 Q #.? b ! [email protected] C&.&C&R&.4 $") '8C +1 $") 'G8#3)? )33+3' =: 5 S(5T :< 7;U ( 7SV7S55=<U ;5=UV SWXS> @ N Q O b ! M b ! N '*+B) t -statistics t(a) and t(b) !"# %%& B23-+ 4 ' @100 <&== g UE 73)*+)M3); HO 1 -',-1M,M7 H, #K+9) Y &. #K'+*8$) 9#*8) ; -K+ 7399+,?3)FH)R +,M.1-+ H, '$#-'-,#**@ '&4.&I,#.$ X (O ;-K+) -K+ H)-+97+?- +,M.1-+ Q H, ,-1M,M7100E ,HR)HG71)-X (O ; -K+) -K+ ,03?+ +,M.1-+ K Z H, ,-1M,M7100E ,HR)HG71)-X 2 ) ( > a t 2 ) ( > b t ) ( ) ( b se b b t ! = and where and b ! ) ( ˆ ) ( a se a a t = a ˆ are the estimates for the parameters a and b ; and se (a) and se(b) are the standard errors for the estimates The R 2 measure : R 2 H, 1 .+1,>9+ 3O -K+ 3*+9100 G- 3O -K+ 9+R9+,,H3)X =1 $") I$ &' B)31),$ ; 1)F '+ 7 Y ND =1 $") 3)43)''&+. )MB*#&.' .+$"&.4 [ 1)F '+ 7 Y N E V).)3#**@[ E\7 Y \D !"# %%& B23-+ 4 ' @100 <&== =& 0 = ! 0 ) var( = ! 0 = b ) var( ) var( y = ! 7)9&)F <$")3 5$#-'-,#* 2+3C8*#' hH*+) -K9++ 73),-1)-, #? - 1)F @ ; 1)F -K9++ 91)F3. *19H180+, == !"# %%& B23-+ 4 ' @100 <&== ) ~ , ~ ( ) ~ , ~ ( ) ~ , ~ ~ ( ) ~ ( ) ~ , ~ ( 2 ) ~ ( ) ~ ~ ( ) ~ ( ) ~ ( ) ~ ~ ( 2 2 z y cCov z x bCov z y c x b a Cov y Var c y x bcCov x Var b y c x b a Var y cE x bE a y c x b a E + = + + + + = + + + + = + + z and y x ~ ~ , ~ !"# %%& B23-+ 4 ' @100 <&== =< Example 1 : Cov(˜r 1 ! ˜r 2 , ˜r M ) = Cov(˜r 1 , ˜r M ) ! Cov(˜r 2 , ˜r M ). Example 2 : A portfolio with return r p has w invested in the market and (1-w) in the risk free asset Suppose ˜r p = (1 ! w)r f + w˜r M . Then Cov(˜r p , ˜r M ) = Cov((1 ! w)r f + w˜r M , ˜r M ) = Cov(w˜r M , ˜r M ) = wVar(˜r M ), The beta of the market is 1. What is the beta of a portfolio that has w invested in the market? " p =Cov(˜r p , ˜r M )/Var(˜r M )= w. (For other useful formulas, you should review your statistics textbook.)
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