Consider the excess return index-model regression results


Consider the (excess return) index-model regression results for stocks A. The risk-free rate over the period was 6%, and the market’s average return was 14%. Performance is measured using an index model regression on excess returns:

1% + 1.2(r_M - r_f ) with an R2 of 0.576 and residual standard deviations of 10.3%.

What is the alpha of Stock A?

What is the Information Ratio of Stock A?

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Financial Management: Consider the excess return index-model regression results
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