Some numbers for monthly u. s. data 1985-1989 ·S&P500T-bls:T=60.Am=0.01.7m=0051 n=9(1+0465:=001470 60 What is 02? R, =a+BRute market model a2=B3o2+2 for typical Nyse stock p=0.25 for typical NYSE stock a=(1-0.250.10)=0.0075 001144Some numbers for monthly U.s. data,1985-1989 • S&P500 T-bills: T=60, • What is ? • market model • • for typical NYSE stock • for typical NYSE stock 2 2 ( 1 0.0465 ) 0.01744 60 ˆ ˆ 0.011, ˆ 0.051 e e m m V σ σ µ σ α = + = = = 2 σ e it i i mt it R = α + β R + e 2 2 2 2 σ i = βi σ m + σ e 2 2 ˆ = 0.10 σ i ρ = 0.25 ˆ ( 1 0.25)( 0.10 ) 0.0075 2 2 σ e = − = Vˆ α = 0.01144