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VC Acquisitions Paper (view source)
Revision as of 19:33, 27 February 2012
, 19:33, 27 February 2012→Calculated variables
Returns:
*<math> AR_i = R_i- (\hat{\alpha_i} + \hat{\beta_i}R_m ) </math>
*<math> AR^S_i = R_i - R_m </math>
*Let <math>\epsilon</math> be the residual from the mkt model regression. Then calc: <math>\sigma_{\epsilon}={( \mathbb{E}(\epsilon - \mathbb{E} \epsilon))}^{\frac{1}{2}}</math>
