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Unformatted text preview: b. Given that returns for a stock follow an AR(1) process, then if the first order autocorrelation co‐efficient is positive, the fourth order autocorrelation co‐efficient should also be positive. c. If the CAPM beta for a stock is 0.9 when calculated using monthly returns, the CAPM beta for the same stock calculated using annual returns should be 10.8. d. For the same asset and the same return frequency, it is always the case that the average of log returns is smaller than the average of net returns. e. The term spread is the best...
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This note was uploaded on 02/08/2014 for the course COMM 374 taught by Professor Lazrak during the Spring '08 term at The University of British Columbia.
- Spring '08