Session 12: Portfolio Management
Reading 53: Portfolio Risk and Return: Part II
LOS d: Explain return generating models (including the market model) and their uses.
A model that estimates expected excess return on a security based on the ratio of the firm’s book value to its market value is best described as a:
A model that estimates a stock’s expected excess return based only on the book-to-market ratio is a single-factor model. The market model is a single-factor model that estimates expected excess return based on a security’s sensitivity to the expected excess return of the market portfolio. A multifactor model would estimate expected excess return based on more than one factor. | 
发表于 2011-3-24 15:58
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