How was the RF of 1.02% achieved based on the data presented? Fxcel rxamplr for

Question

How was the RF of 1.02% achieved based on the data presented?

Fxcel rxamplr for assignment? Fxrel Insert Page layout Fnrmulas Data Rrview View Help ? Tell me what you want to do Comma [O] Currenry Currency [0] Clear5ort& Find& Filter Sclect Insert Delete Fomat Fomat Painter IB Formatting Table 1 Dala 0.1437864 0060592 0CO60559 0007824 a «228i2 04373 0.0196768 0.00505 00041412 -0.0139 0,00701 029188 00711035 -0.00596 0.0329976 0.001821 290469 049263 0207389 0017373 0.0923246 0091984 0.0737632 0.04235 10 9 11 10 12 11 13 12 14 17 E(R) 18 Std.Dev. 19 rho(s,B)D.ti5344 Cons,B) 0.000953 1.02% 3.90% 4.98% 2.33% 3.21% Stap 1: Risky assots officient Frontier 21 Portfolio 22 Wa Std DF -70% 0.0731 0.0499 60% 00896 0.0403 -50% (} D661 00468 -40% 00626 0.0452 .30% 0.0592 0.0436 20% 00559 0.0421 106 0405 % 0.0496 0.0390 150 140% 13096 120% 27 Frontier, CML + 100% O Type here to search 2

Explanation / Answer

since ambiguity in the information which among the S and B is to be considered as market

taking B as market which should be a base for comparision with any stock

beta = covariance S,B / (standard deviation of B)2 = 0.000953 / (0.0496)2 = 0.3873

as per CAPM

E(R)s = Rf + beta (Rb - Rf)  

2.33% = Rf + 0.3873(3.9% - Rf)

on solving

Rf = 1.33% (approx)

Related Questions

Navigate

• Browse (All)
• Browse H
• Subjects

---

---

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.