Business
Business, 30.10.2019 02:31, Kkampudiaa

Consider the regression equation:
ri - rf = g0 + g1b1 + g2s2(ei) + eit
where:
ri - rf = the average difference between the monthly return on stock i and the monthly risk-free rate
bi = the beta of stock i
s2(ei) = a measure of the nonsystematic variance of the stock i
if you estimated this regression equation and the capm was valid, you would expect the estimated coefficient, g0, has to bea. 0b. 1c. equal to the risk-free rate of return. d. equal to the average difference between the monthly return on the market portfolio and the monthly risk-free rate. e. none of the options

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Answers: 3

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Do you know the correct answer?
Consider the regression equation:
ri - rf = g0 + g1b1 + g2s2(ei) + eit
where:
ri...

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