问题如下:
Which of the following is most accurate in the return-generating model?
选项:
A. Return-generating models are used to directly estimate the expected return of a security.
B. Return-generating models are used to directly estimate the weights of securities in a portfolio.
C. Return-generating models are used to directly estimate the parameters of the capital market line.
解释:
A is correct.
In the market model, Ri =αi +βiRm +ei, we use historical security and market returns to estimate the intercept, αi, and slope coefficient,βi. Based on the intercept and slope coefficient, we can predict firm-specific returns of a security.
return generating model是market model 吗?