Samantha Xiao is trying to get some insi...

题目

Samantha Xiao is trying to get some insight into the relationship between the return on stock LMB (R_LMD,t) and the return on the S&P 500 index (R_S&P,t). Using historical data she estimates the following:
Annual mean return for LMD 11%
Annual mean return for S&P index 7%
Annual volatility for S&P 500 index 18%
Covariance between the returns of LMD and S&P 500 index 6%

Assuming she uses the same data to estimate the regression model given by:R_LMD,t=α+βR_S&P,t+ε_tUsing the ordinary least squares technique, which of the following models will she obtain?

选项

A.RLMD,t=-0.02+0.54RS&P,t +εt

B.RLMD,t=-0.02+1.85RS&P,t +εt

C.RLMD,t=0.04+0.54RS&P,t +εt

D.RLMD,t=0.04+1.85RS&P,t +εt

答案

B

解析

β=6%/(18%²)=1.8511%=α ＋1.85×7% → α=-0.02