Purchase Solution

determine the beta coefficient and the alpha coefficient

Not what you're looking for?

Ask Custom Question

You are given the following data and asked to determine the beta coefficient and the alpha coefficient for IBM and General Electric stock. If you assume that past history is indicative of future expectations and covariances, were IBM and GE good buys at the end of this data set (I.e. in January 2007)? Why or why not? The one thing you cannot use in your answer is what has happened to these stocks since December 2006. That is, you cannot peak ahead. The numbers are monthly returns, not annual returns (in %). The alpha coefficient you get should also refer to monthly returns.

See attached file for full problem description.

Attachments
Purchase this Solution
Solution Summary

This job guides to determine the beta coefficient and the alpha coefficient.

Purchase this Solution
Free BrainMass Quizzes
Elementary Microeconomics

This quiz reviews the basic concept of supply and demand analysis.

Economic Issues and Concepts

This quiz provides a review of the basic microeconomic concepts. Students can test their understanding of major economic issues.

Pricing Strategies

Discussion about various pricing techniques of profit-seeking firms.

Basics of Economics

Quiz will help you to review some basics of microeconomics and macroeconomics which are often not understood.

Economics, Basic Concepts, Demand-Supply-Equilibrium

The quiz tests the basic concepts of demand, supply, and equilibrium in a free market.

View More Free Quizzes
Related BrainMass Solutions

  • Mutual Fund Measurements

    498747 Interpret the given measures. What does it mean if a domestic mutual fund has a beta coefficient of 1.25, an alpha coefficient of 2.25 and an R-Square of 75?

  • Beta, Alpha, Coefficient of determination

    Calculates Beta, Alpha, Coefficient of determination for a stock given the return on the stock an market return for 10 quarters.

  • Multiple Regression

    alpha is 0.05, we can then say that the critical value is 1.711 (read off the chart).

  • Calculate the volatilities

    I also have the coefficient of determination for both A and B, the error terms are uncorrelated. I have the betas of the two risky assets and the alpha for these two assets too. How can I calculate the volatilities for the these two assets?

  • Analysis of reflections on a transmission line

    In general we can describe a voltage propagating down the line in the forward direction by V+ = V(+)*exp(-gamma*x) (1) Where gamma is the propagation constant of the line in question and is equal to alpha + jbeta, alpha being the attenuation

  • estimated regression coefficients

    In this model beta i is known as the beta coefficient of the ith security, a measure of market (or systematic) risk of a security.

  • Weighted Average Cost of Capital

    a. 0.6 b. 1.3 c. 1.9 Formulas Kj = Rf + B (Km - Rf) Rf = Risk free rate of return B = Beta coefficient ([Kj = a + BKm + e] Kj = Return on individual common stock of a company a = Alpha, the intercept on the y-axis B= Beta, the coefficient

  • Coefficient of Variation, Beta

    Determine based on the information given the Average return, Standard Deviation and Coefficient of Variation. Which is the better investment?

  • Average return,Standard Deviation

    and Proportions :What is the Beta of Portfolio?

View More Related Solutions