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Suppose You Have 5-Year Annual Data on the Excess Returns

question 17

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Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -Suppose that the unbiased estimator of the standard deviation of the disturbance (s) is 5.1. What is the nearest value to the standard errors of the estimated CAPM alpha ( ) of Fund ABC from question 6? A) 3.5 B) 4.5 C) 5.5 D) 6.5 is the return on fund ABC, Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -Suppose that the unbiased estimator of the standard deviation of the disturbance (s) is 5.1. What is the nearest value to the standard errors of the estimated CAPM alpha ( ) of Fund ABC from question 6? A) 3.5 B) 4.5 C) 5.5 D) 6.5 is the risk-free rate and Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -Suppose that the unbiased estimator of the standard deviation of the disturbance (s) is 5.1. What is the nearest value to the standard errors of the estimated CAPM alpha ( ) of Fund ABC from question 6? A) 3.5 B) 4.5 C) 5.5 D) 6.5 is the return on the market index) :
Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -Suppose that the unbiased estimator of the standard deviation of the disturbance (s) is 5.1. What is the nearest value to the standard errors of the estimated CAPM alpha ( ) of Fund ABC from question 6? A) 3.5 B) 4.5 C) 5.5 D) 6.5
-Suppose that the unbiased estimator of the standard deviation of the disturbance (s) is 5.1. What is the nearest value to the standard errors of the estimated CAPM alpha ( Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index) : -Suppose that the unbiased estimator of the standard deviation of the disturbance (s) is 5.1. What is the nearest value to the standard errors of the estimated CAPM alpha ( ) of Fund ABC from question 6? A) 3.5 B) 4.5 C) 5.5 D) 6.5 ) of Fund ABC from question 6?

Definitions:

Managements' Discussion

A section of a company's annual report where management provides an analysis of the company's financial condition and operational results.

Altman's Z-Score

A formula used to predict the likelihood of a business entering bankruptcy within two years, based on various income and balance sheet values.

Bankruptcy Risk

The risk that a company will be unable to meet its debt obligations and forced to seek protection under bankruptcy laws.

Default Risk

The risk that a borrower will not make the required payments on its debt obligations.

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