NO.PZ2015121801000089
问题如下:
With respect to return-generating models, the intercept term of the market model is the asset’s estimated:
选项:
A.
beta.
B.
alpha.
C.
variance.
解释:
B is correct.
In the market model, Ri =αi +βiRm +ei, the intercept, αi, and slope coefficient, βi, are estimated using historical security and market returns.
是否可以这样理解:return generation model 属于一个大的概念范畴,multifactor models和market model都属于这个大概念,而market model属于multifactor models的特例。若考察多个β,就属于multifactor models,若考察一个系统性风险影响的β,就属于multifactor models中的特例capm模型;若考察系统性风险β与非系统风险α的影响,就属于multifactor models中特例market model。