Unformatted text preview: portfolio 2 located relative to the SML line? b) What is the CAPM alpha of portfolio 9 and is it significantly different from zero? What is the CAPM beta of portfolio 9 and is it significantly different from zero? Where is portfolio 9 located relative to the SML line? c) Why are the results for parts (a) and (b) considered anomalous relative to the CAPM? 2. The spreadsheet “testing CAPM_HW6” also contains the monthly returns of a portfolio consisting of small stocks (“Small”). Show that the small portfolio performs better in January than the rest of the year, after adjusting for market risk? (Hint: use the Dummy variable method we discussed in class)....
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- Spring '09
- Management, 10%, 20%, Purdue University, six-month, Purdue University Krannert School of Management MGMT