Consider the following monthly returns for a stock, the mark…
Consider the following monthly returns for a stock, the market portfolio, and the risk-free investment over the last 12 months: Monthly Returns of a Stock, the Market Portfolio, and the Risk-Free Investment Month Stock Market Risk-Free 1 [RS10]% [RM10]% [RF10]% 2 [RS20]% [RM20]% [RF20]% 3 [RS30]% [RM30]% [RF30]% 4 [RS40]% [RM40]% [RF40]% 5 [RS50]% [RM50]% [RF50]% 6 [RS60]% [RM60]% [RF60]% 7 [RS70]% [RM70]% [RF70]% 8 [RS80]% [RM80]% [RF80]% 9 [RS90]% [RM90]% [RF90]% 10 [RS100]% [RM100]% [RF100]% 11 [RS110]% [RM110]% [RF110]% 12 [RS120]% [RM120]% [RF120]% Assuming the single-factor model is true, what was the annualized firm-specific risk over the last twelve months for the stock? Enter your annualized firm-specific risk as a percentage, rounded to the nearest 0.01% (e.g., for 0.12345, enter 12.35).
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