You are told that Land's End, a catalog retailer, earned an excess return (Jensen's alpha), in annualized terms, of 0.36 over the last 5 years and that it had a beta of 1.4 during the same period....


You are told that Land's End, a catalog<br>retailer, earned an excess return<br>(Jensen's alpha), in annualized terms, of<br>0.36 over the last 5 years and that it had<br>a beta of 1.4 during the same period.<br>Assuming that this estimate came from<br>a quarterly regression of stock returns<br>against a market return, and that the<br>average annualized risk-free rate during<br>the period was 0.044<br>Estimate the quarterly excess return.<br>Estimate the intercept on the<br>.regression<br>Assuming that the standard error in the<br>beta estimate is 0.35, provide the lower<br>bound for the raw beta estimate, in a<br>.67% confidence interval<br>Assuming that the standard error in the<br>beta estimate is 0.35, provide the upper<br>bound for the raw beta estimate, in a<br>67% confidence interval.<br>

Extracted text: You are told that Land's End, a catalog retailer, earned an excess return (Jensen's alpha), in annualized terms, of 0.36 over the last 5 years and that it had a beta of 1.4 during the same period. Assuming that this estimate came from a quarterly regression of stock returns against a market return, and that the average annualized risk-free rate during the period was 0.044 Estimate the quarterly excess return. Estimate the intercept on the .regression Assuming that the standard error in the beta estimate is 0.35, provide the lower bound for the raw beta estimate, in a .67% confidence interval Assuming that the standard error in the beta estimate is 0.35, provide the upper bound for the raw beta estimate, in a 67% confidence interval.

Jun 02, 2022
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