NO.PZ2018070201000089
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.
球讲解。