[CFA模拟真题] 2006 CFA Level I －NO76 face, following, against, returns, border

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16．Regressing the returns on a stock against the returns on the market portfolio resulted in the following statistics:

y-intercept (a)	0.85
Slope of the regression line (b)	0.72
Coefficient of correlation	0.46
Coefficient of determination	0.21

 

These results suggest that the stock has less than average market (systematic) risk because the:

 

Select exactly 1 answers from the following:
A. y-intercept is less than 1.
B. coefficient of correlation is less than 1.
C. slope of the regression line is less than 1.
D. coefficient of determination is less than 1.
答案和详解如下！
Feedback: Correct answer: C

Quantitative Methods for Investment Analysis, Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkle (CFA Institute, 2004), pp. 407?09

2006 Modular Level I, Vol. I, pp. 551-553

Study Session 3-13-h

interpret a regression coefficient

 

The slope of the regression line (b) measures market (systematic) risk. A stock with average market risk would have a coefficient of one; a slope coefficient of less than one indicates the stock has lower than average market risk.

zyx8318

[em03]

xxcfa

good

浪客魔心

谢谢

wansong77

C

omogzu

[em06]

rocksu

e

pippi

[em01]

lauratang

c

kittenwu

got it