What is a flip-over plan

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a. What is a flip-over plan?

b. A stock has traded at an average price of $50 over the course of a trading day. The covariance of successive transaction price changes (trade-bytrade changes in price) is about -0.06. Using the Roll model, what is the estimate of the bid-ask spread of the stock (measured in percent of the average price of $50)?

c. The market index has average return 7% and standard deviation 30%. The risk-free rate is 3%. A portfolio has beta 1.4, unsystematic variance of 0.03, and an M2-measure of -0.01. What is the average return on the portfolio?

Reference no: EM132578152

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