A Linear Regression Was Done to Estimate the Relation Between

question 44

Multiple Choice

A linear regression was done to estimate the relation between Santos' share returns and the market's return. The intercept of the line was found to be 0.23 and the slope was 1.47. Which of the following statements is true regarding Santos shares?

• A) The risk-free rate is 1.47%.
• B) The standard deviation of Santos' excess returns is 23%.
• C) Santos' beta is 1.47.
• D) Santos' beta is 0.23.

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