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FIN 5550-EVT: Jack De Jong: Quantitative Problem Set #3:

 

Due: Tuesday, October 11, 2016 by 6:00 PM:

 

Name: Version:

 

(Please insert the names or symbols of your two companies as indicated.) Problem: Points Questions

 

Index Models: (50 points) 1 (10)

 

2 (5) 3 (4)

 

(4)

 

(2)

 

4 (5) 5 (4)

 

(4)

 

(2)

 

6 (5) Your Answers:

 

Please insert your

 

two companies: Avg. Return

 

Excess Ret.

 

Company #1:

 

Measure Inference & Brief Explanation Measure Inference & Brief Explanation Alpha

 

Beta

 

R-Squared

 

Systematic

 

Firm-specific

 

Total Risk

 

Company #2:

 

Alpha

 

Beta

 

R-Squared

 

Systematic

 

Firm-specific

 

Total Risk

 

Please insert your

 

two companies below: 7 (5) SPDR

 

iShares

 

S&P 500

 

1-3 Year

 

Index ETF Treas. Bd. Covariance

 

Correlation CAPM and APT: (50 points)

 

1 (5)

 

Risk Aversion

 

2 (10)

 

Exp. Return

 

3 (5)

 

Correlation

 

4 (10)

 

Alpha

 

5 (10)

 

Exp. Return

 

6 (10)

 

Arbitrage

 







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