问题如下:
Which of the following statements is correct in return-generating models?
选项:
A.The intercept of the market model is the asset’s estimated beta.
B.The intercept of the market model is the asset’s estimated alpha.
C.The intercept of the market model is the asset’s estimated variance.
解释:
B is correct.
In the market model, Ri =αi +βiRm +ei, the intercept, αi, is estimated using historical security and market returns.
你好老师,请问CAPM中的SCL也是回归,怎么知道题目说的是marketmodel还是前面略略讲到的那个呢,谢谢