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  • Portfolio Theory and Security Analysis (MBFC 4053) Tutorial Questions Topic 7: Efficient Market

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    The document provides data on the investment portfolio of Jannah Closet including stock identifiers, individual stock returns (Rit), market returns (Rmt) and betas for 4 stocks. Respondents are asked to use the data to: 1) Compute abnormal returns for stocks ignoring systematic risk. 2) Compute abnormal returns accounting for systematic risk using the provided betas.

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    The document provides data on the investment portfolio of Jannah Closet including stock identifiers, individual stock returns (Rit), market returns (Rmt) and betas for 4 stocks. Respondents are asked to use the data to: 1) Compute abnormal returns for stocks ignoring systematic risk. 2) Compute abnormal returns accounting for systematic risk using the provided betas.

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    9 views1 page

    Portfolio Theory and Security Analysis (MBFC 4053) Tutorial Questions Topic 7: Efficient Market

    Uploaded by

    Mohd Idham
    The document provides data on the investment portfolio of Jannah Closet including stock identifiers, individual stock returns (Rit), market returns (Rmt) and betas for 4 stocks. Respondents are asked to use the data to: 1) Compute abnormal returns for stocks ignoring systematic risk. 2) Compute abnormal returns accounting for systematic risk using the provided betas.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
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    PORTFOLIO THEORY AND SECURITY ANALYSIS (MBFC 4053)

    TUTORIAL QUESTIONS
    TOPIC 7: EFFICIENT MARKET

    Given below are the data on the investment portfolio of the Jannah Closet.

    Stock Rit (%) Rmt (%) βi

    1 10.0 8.5 1.25

    2 14.0 9.6 1.45

    3 12.0 15.3 0.70

    4 15.9 12.4 - 0.30

    By using the information above:

    i. Compute the abnormal rates of return for the stocks during period t (ignore
    the differential systematic risk).
    ii. Compute the abnormal rates of return for the five stocks above by assuming
    the existence of systematic risk measures (betas).

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