。。 · 2025年06月19日
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：
计算时不考虑a和∈，只根据公式就能算出答案
NO.PZ2024120401000015 问题如下 In running a regression of the returns of StoXYZ against the returns on the market, the stanrviation of the returns of StoXYZ is 20%, anthof the market returns is 15%. If the estimatebeta is founto 0.75. Whis the correlation between the returns of StoXYZ anthose of the market? A.0.75 B.0.5625 C.0.15 1.0 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 StoXYZ against the returns on the market= StoXYZ-inpennt；market-pennt。或者说，ρ=1是不可能的，因为两个标准差是不相等的。
NO.PZ2024120401000015问题如下 In running a regression of the returns of StoXYZ against the returns on the market, the stanrviation of the returns of StoXYZ is 20%, anthof the market returns is 15%. If the estimatebeta is founto 0.75. Whis the correlation between the returns of StoXYZ anthose of the market? A.0.75B.0.5625C.0.151.0 直接0.75*0.2*0.15
NO.PZ2024120401000015 问题如下 In running a regression of the returns of StoXYZ against the returns on the market, the stanrviation of the returns of StoXYZ is 20%, anthof the market returns is 15%. If the estimatebeta is founto 0.75. Whis the correlation between the returns of StoXYZ anthose of the market? A.0.75 B.0.5625 C.0.15 1.0 为什么15%就是波动率呢？是因为that么。。。
