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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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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-West Lafayette.
- Spring '09