金融英语07.pptVIP

GM Regression: What We Can Learn GM is a cyclical stock due to its positive beta and the fact that the rM is a good approximation for the business cycle Since the beta of GM is 1.24, we can expect GM’s excess return to vary, on average, 1.24% for 1% variation in the market index Suppose the current T-bill rate is 2.75%, and our forecast for the market excess return is 5.5%. The expected required rate of return for GM stock can be calculated as Predicting Betas The beta from the regression equation is an estimate based on past history, but we need a forecasted beta to derive E(ri) in the future