11 Jan

Assume that stock market returns have the market index as a common factor

by jagguarpaw On: Finance - 0 Comment

Question: Assume that stock market returns have the market i…

Assume that stock market returns have the market index as a common factor, and that all stocks in the economy have a beta of 1.4 on the market index. Firm-specific returns all have a standard deviation of 34%.

Suppose that an analyst studies 20 stocks, and finds that one-half have an alpha of +2.2%, and the other half an alpha of –2.2%. Suppose the analyst buys $1.0 million of an equally weighted portfolio of the positive alpha stocks, and shorts $1.0 million of an equally weighted portfolio of the negative alpha stocks.

1. What is the expected profit (in dollars) and standard deviation of the analyst’s profit? (Do not round intermediate calculations. Round your answers to the nearest whole dollar amount. Omit the “$” sign in your response.)

Expected profit (in dollars)	$
Standard deviation	$

1. How does standard deviation change if the analyst examines 50 stocks instead of 20 stocks? 100 stocks? (Do not round intermediate calculations. Round your answers to the nearest whole dollar amount. Omit the “$” sign in your response.)

	50 stocks	100 stocks
Standard deviation	$	$

Tags: Assume that stock market, Assume that stock market returns, Assume that stock market returns have the, Assume that stock market returns have the market, Assume that stock market returns have the market index, Assume that stock market returns have the market index as a common, Assume that stock market returns have the market index as a common factor Share

Trackbacks and pingbacks

1. drysol canada pharmacy
   drysol canada pharmacy Assume that stock market returns have the market index as a common factor - Wise American
2. cheap drugs online canada
   cheap drugs online canada Assume that stock market returns have the market index as a common factor - Wise American
3. us cialis purchase
   us cialis purchase Assume that stock market returns have the market index as a common factor - Wise American
4. paypal cialis tadalafil
   paypal cialis tadalafil Assume that stock market returns have the market index as a common factor - Wise American
5. pharmacies near me
   pharmacies near me Assume that stock market returns have the market index as a common factor - Wise American
6. cialis c5
   cialis c5 Assume that stock market returns have the market index as a common factor - Wise American
7. cialis pharmacy prices
   cialis pharmacy prices Assume that stock market returns have the market index as a common factor - Wise American
8. viagra / cialis
   viagra / cialis Assume that stock market returns have the market index as a common factor - Wise American
9. canlı bahis oyna
   ... [Trackback] [...] Read More here to that Topic: wiseamerican.us/assume-stock-market-returns-market-index-common-factor/ [...]
10. viagra free trial 3 free pills
    viagra free trial 3 free pills Assume that stock market returns have the market index as a common factor -…
11. generic viagra betrouwbaar
    generic viagra betrouwbaar Assume that stock market returns have the market index as a common factor - Wise American
12. dapoxetine and cialis online
    dapoxetine and cialis online Assume that stock market returns have the market index as a common factor - Wise American
13. cialis no prescription paypal
    cialis no prescription paypal Assume that stock market returns have the market index as a common factor - Wise American
14. canadian pharmacy online viagra
    canadian pharmacy online viagra Assume that stock market returns have the market index as a common factor - Wise American
15. Moduretic
    Moduretic Assume that stock market returns have the market index as a common factor - Wise American
16. levitra maximum daily dosage
    levitra maximum daily dosage Assume that stock market returns have the market index as a common factor - Wise American
17. canada pharmacies online
    canada pharmacies online Assume that stock market returns have the market index as a common factor - Wise American
18. canadian pharmacy king
    canadian pharmacy king Assume that stock market returns have the market index as a common factor - Wise American
19. how much is cialis without insurance
    how much is cialis without insurance Assume that stock market returns have the market index as a common factor -…
20. write my essay affordable
    write my essay affordable Assume that stock market returns have the market index as a common factor - Wise American
21. essay writer cheap
    essay writer cheap Assume that stock market returns have the market index as a common factor - Wise American
22. relx infinity
    ... [Trackback] [...] Information on that Topic: wiseamerican.us/assume-stock-market-returns-market-index-common-factor/ [...]
23. dissertation abstracts international
    dissertation abstracts international Assume that stock market returns have the market index as a common factor - Wise American
24. essay writing service scams
    essay writing service scams Assume that stock market returns have the market index as a common factor - Wise American
25. thesis advice
    thesis advice Assume that stock market returns have the market index as a common factor - Wise American
26. buy an essay cheap
    buy an essay cheap Assume that stock market returns have the market index as a common factor - Wise American
27. is it ok to take cialis and viagra together
    is it ok to take cialis and viagra together Assume that stock market returns have the market index as a…
28. Reliant Energy Reviews
    ... [Trackback] [...] Here you will find 80164 more Information on that Topic: wiseamerican.us/assume-stock-market-returns-market-index-common-factor/ [...]
29. cialis professionals
    cialis professionals Assume that stock market returns have the market index as a common factor - Wise American
30. free sample of cialis
    free sample of cialis Assume that stock market returns have the market index as a common factor - Wise American
31. united pharmacy cialis
    united pharmacy cialis Assume that stock market returns have the market index as a common factor - Wise American
32. buying viagra or cialis min canada
    buying viagra or cialis min canada Assume that stock market returns have the market index as a common factor -…
33. viagra
    viagra Assume that stock market returns have the market index as a common factor - Wise American
34. Nitroglycerin
    Nitroglycerin Assume that stock market returns have the market index as a common factor - Wise American
35. legit online pharmacy
    legit online pharmacy Assume that stock market returns have the market index as a common factor - Core Recruiters Ltd
36. discount drugs online pharmacy
    discount drugs online pharmacy Assume that stock market returns have the market index as a common factor - Core Recruiters…
37. natural viagra for men
    natural viagra for men Assume that stock market returns have the market index as a common factor - Core Recruiters…
38. viagra alternative
    viagra alternative Assume that stock market returns have the market index as a common factor - Core Recruiters Ltd
39. how long does it take for cialis to work
    how long does it take for cialis to work Assume that stock market returns have the market index as a…
40. cialis prices
    cialis prices Assume that stock market returns have the market index as a common factor - Core Recruiters Ltd
41. how long for cialis to work
    how long for cialis to work Assume that stock market returns have the market index as a common factor -…
42. online research paper writer
    online research paper writer Assume that stock market returns have the market index as a common factor - Core Recruiters…
43. write my philosophy paper
    write my philosophy paper Assume that stock market returns have the market index as a common factor - Core Recruiters…
44. how to write a phd thesis
    how to write a phd thesis Assume that stock market returns have the market index as a common factor -…
45. help writing a thesis statement
    help writing a thesis statement Assume that stock market returns have the market index as a common factor - Core…
46. custom essay
    custom essay Assume that stock market returns have the market index as a common factor - Core Recruiters Ltd
47. help write my essay
    help write my essay Assume that stock market returns have the market index as a common factor - Core Recruiters…
48. admission essay writing services
    admission essay writing services Assume that stock market returns have the market index as a common factor - Core Recruiters…
49. writing my dissertation
    writing my dissertation Assume that stock market returns have the market index as a common factor - Core Recruiters Ltd
50. the best essay writing service
    the best essay writing service Assume that stock market returns have the market index as a common factor - Core…