Suppose you had the following regression results from regressing the excess returns of dmz and ge on the market excess returns: dmz ge α 0.02 0.00 β 0.2 1.1 s. e.r. 0.05 0.12 r^2 0.5098 0.8452 a) what is the security characteristic line of dmz? b) how would you classify dmz and ge based on their beta's? c) what is dmz's firm specific variance of returns? d) what is the systematic portion of dmz's variance? e) what is the market variance? f) what is the covariance between dmz and ge?
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Suppose you had the following regression results from regressing the excess returns of dmz and ge on...
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