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Unformatted text preview: Observations 120 Coefficients Standard Error alpha 0.0044 0.0020 beta 1.32 0.23 The variance of the return of the S&P 500 index is 0.04. a) What is the covariance between the two stocks? b) Test the hypothesis that the alpha of Bpex is equal to 0. Based on the regression output from above, what is the conclusion from your test? c) Based on the regression output, which company has higher idiosyncratic risk? d) What is the total variance of Bpex stock return according to the index model?...
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This note was uploaded on 02/06/2012 for the course MGMT 411 taught by Professor Clarke during the Spring '09 term at Purdue University.
- Spring '09