An assets risk premium is the excess of its return over the

An asset\'s risk premium is the excess of its return over the risk-free rate. Assets having nsk premia that fluctuate less than one-for-one with the market are called defensive assets, and those whose risk premier fluctuate more than one-for-one with the market arc called aggressive assets. Consider here below the estimated CAPM model for Ford, using monthly returns from October 2010 until November 2014. Where: Return on Ford stock, r = Return on the NYSE index, Return on 3-months government issued T-bills. On the basis of the above results. Obtain a 95% confidence interval for both the intercept and the slope coefficients. With a 5% significance level, what can you infer about the relationship between market returns and Ford returns? State whether Ford can best be described as aggressive, neutral, or defensive security. Test your statement at a 5% significance level. From the results above, what proportion of the variability of Ford premium can be attributable to systematic risk? To specific risk? Over the same 51 months period above, the CAPM estimation for XYZ security and the S&P; 500 yielded a beta coefficient of 0.214, with a coefficient standard error of 0.186.

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