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LOS g: Discuss multifactor models as applied in a global context.
Q1. Which of the following statements about multifactor models is TRUE?
A) Multifactor models should be limited to about four factors to prevent implausible results from occurring.
B) Growth shares have a low price to book-value ratio.
C) Analysts could use complex statistical procedures to model risk exposures.
Q2. Which of the following statements about multifactor models is TRUE?
A) The momentum effect suggests that performance in the short-term is stable.
B) It is usually difficult to use a global index in a particular industry as a proxy for the industry factor.
C) When classifying stocks into certain categories, the country of origin does not matter.
Q3. Which of the following statements about multifactor models is FALSE?
A) The momentum, size, and value effects can easily be adapted to a global context.
B) Beta measures the sensitivity of the returns to each factor.
C) The random term in the equation represents diversifiable risk. | 
发表于 2009-3-6 13:55
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