NO.PZ2024120401000015
问题如下：
In running a regression of the returns of Stock XYZ against the returns on the market, the standard deviation of the returns of Stock XYZ is 20%, and that of the market returns is 15%. If the estimated beta is found to be 0.75. What is the correlation between the returns of Stock XYZ and those of the market?
选项：
A.0.75
B.0.5625
C.0.15
D.1.0
解释：
我实在是看不懂到底谁是谁，我拿公式算了两遍，一遍算出来ρ=0.5625——正确答案；再把两个标准差换下顺序，居然选项也有这个答案，ρ=1！
所以，这题的解题关键是理解这句话吗——In running a regression of the returns of Stock XYZ against the returns on the market= Stock XYZ-independent；market-dependent。
或者说，ρ=1是不可能的，因为两个标准差是不相等的。
