An analyst is seeing to predict the retu...

题目

An analyst is seeing to predict the returns on the stock of Hirauye Inc, a Japanese conglomerate using the MSCI EAFE index. The analyst has compiled the following information:
R(Hirauye)=5.6+1.8X
R²=0.64
σ²_{MSCI EAFE}=5.76%
Given this information, which of the following statements is (are) CORRECT?I.The standard deviation of returns for Hirauye Inc. stock is 54%.II.The covariance of returns between Hirauye Inc. stock and the MSCI EAFE index is 0.8.III. The variability of Hirauye Inc. stock explains 36 percent of the variability in the MSCI EAFE index.

选项

A.I, II and III

B.II and III only

C.I only

D.I and III only

答案

C

解析

An R-squared of 0.64 would be correctly interpreted that the variability of the MSCI EAFE index explains 64% of the variability of Hirauye Inc. stock.「huixue_img/importSubject/1564169388758798336.png」