hard · Quantitative Finance
In a simple linear regression of a stock's excess returns on the market's excess returns, the estimated slope (beta) is 1.2 and the R^2 is 0.36.
If the total variance of the stock's returns is 0.04, what is the idiosyncratic (residual) variance?
- 0.0288
- 0.0256
- 0.0064
- 0.0144
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