题目
An analyst is seeking to generate a simple linear regression equation that will allow him to estimate the returns of a beverage company's stock against the returns of the S&P 500. The analyst has compiled the following information: σ(S&P500 )=16.4% σ(beverage company)=22.0% ρ=0.82 mean annual return S&P 500=8.2% risk-free interest rate=4% What is the slope coefficient of the regression equation?
选项
A.1.85
B.1.10
C.2.34
D.0.80
答案
B
解析
This question is tricky because it gives a lot of extra information. The slope of the regression equation is beta. Beta=Cov(x,y)/ VaR (x). Since we are given the correlation coefficient, we can calculate the Cov(x,y)=0.82×16.4%×22.0%=2.96%.The independent variable here is the S&P 500. The slope coefficient of the regression equation is 2.96%/(〖16.4%〗^2)=1.10.这个问题很棘手，因为它提供了很多额外的信息。 回归方程的斜率是beta。 Beta=Cov(x, y)/ VaR (x)。 由于给出了相关系数，因此我们可以计算出Cov(x, y)=0.82×16.4%×22.0%=2.96%。此处的独立变量为S＆P500。回归方程的斜率系数为2.96%/(〖16.4%〗^2)=1.10