You have run a regression of returns o

You have run a regression of returns o

1. You have run a regression of returns of Devonex, a machine tool manufacturer, against

the S&P 500 Index using monthly returns over the last 5 years and arrived at the following

regression:

ReturnDevonex= – 0.20% + 1.50 ReturnS&P 500

If the stock had a Jensen’s alpha of +0.10% (on a monthly basis) over this period, estimate

the monthly riskfree rate during the last 5 years.