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

Question

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

Quizplus · Accepted Answer

The Answer of 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 You Have 5-Year Annual Data on the Excess Returns