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标题: Reading 53: Portfolio Risk and Return: Part II-LOS d 习题精选 [打印本页]

作者: 1215    时间: 2011-3-24 15:58     标题: [2011]Session 12-Reading 53: Portfolio Risk and Return: Part II-LOS d 习题精选

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)
market model.
B)
multifactor model.
C)
single-factor model.


 

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.






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