If GE has an annual risk of 27.4 percent, what is the volatility of monthly GE returns? How do structural risk models help in estimating asset betas? How do these betas differ from those estimated...

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If GE has an annual risk of 27.4 percent, what is the volatility of monthly GE returns?

How do structural risk models help in estimating asset betas? How do these betas differ from

those estimated from a 60-month beta regression?

Answered Same DaySep 14, 2022

Answer To: If GE has an annual risk of 27.4 percent, what is the volatility of monthly GE returns? How do...

Rochak answered on Sep 14 2022

66 Votes

a. Volatility of monthly GE returns = Annual Risk/SQRT (12)
= 27.4%/SQRT (12)
= 7.91%
b. Risk models help identify the movement in the stock returns; therefore, based on this, the volatility is calculated for both the stock and market, which then helps in estimating the asset betas.
These betas...

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If GE has an annual risk of 27.4 percent, what is the volatility of monthly GE returns? How do structural risk models help in estimating asset betas? How do these betas differ from those estimated...

Answer To: If GE has an annual risk of 27.4 percent, what is the volatility of monthly GE returns? How do...

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