1. One stock has traded at an average price of $50 over the course of a trading
day. The covariance of successive transaction price changes is about XXXXXXXXXXUsing the Roll model, what is the estimate of1. One stock has traded at an average price of $50 over the course of a trading
day. The covariance of successive transaction price changes is about XXXXXXXXXXUsing the Roll model, what is the estimate of the bid-ask spread of the stock (measured in percent of the
average price of $50)?
2. The market index has average return 7% and standard deviation 30%. The
risk-free rate is 3%. A portfolio has beta 1.4, unsystematic variance of 0.03,
and an M2-measure of XXXXXXXXXXWhat is the average return on the portfolio?the bid-ask spread of the stock (measured in percent of the
average price of $50)?
2. The market index has average return 7% and standard deviation 30%. The
risk-free rate is 3%. A portfolio has beta 1.4, unsystematic variance of 0.03,
and an M2-measure of XXXXXXXXXXWhat is the average return on the portfolio?1. One stock has traded at an average price of $50 over the course of a trading
day. The covariance of successive transaction price changes is about XXXXXXXXXXUsing the Roll model, what is the estimate of the bid-ask spread of the stock (measured in percent of the
average price of $50)?
2. The market index has average1. One stock has traded at an average price of $50 over the course of a trading
day. The covariance of successive transaction price changes is about XXXXXXXXXXUsing the Roll model, what is the estimate of the bid-ask spread of the stock (measured in percent of the
average price of $50)?
2. The market index has average return 7% and standard deviation 30%. The
risk-free rate is 3%. A portfolio has beta 1.4, unsystematic variance of 0.03,
and an M2-measure of XXXXXXXXXXWhat is the average return on the portfolio?return 7% and standard deviation 30%. The
risk-free rate is 3%. A portfolio has beta 1.4, unsystematic variance of 0.03,
and an M2-measure of XXXXXXXXXXWhat is the average return on the portfolio?