单选题
Will the covariance of returns for two common stocks be negative if the actual returns on both stocks tend to be: Above their expected returns Below their expected returns at the same time? at the same time? A. No No
B. No Yes
C. Yes No
【正确答案】
A
【答案解析】 COV( R1,
R2)=E[(R1-E(R1))(R2-E(R2))],
the covariance of returns for two common stocks tend to be positive if they are
above/below their expected returns at the same time.