问题如下:
Which of the following statements is correct in the return-generating model?
选项:
A.The slope of the market model is an estimate of the asset’s total risk.
B.The slope of the market model is an estimate of the asset’s systematic risk.
C.The slope of the market model is an estimate of the asset’s nonsystematic risk.
解释:
B is correct.
In the market model, the asset’s systematic or market risk is expressed by the slope of the market model βi, in the model Ri =αi +βiRm +ei.
这道题的答案我能理解,但是老师的解释我不理解。
请问return-generating model和maket model是同一个概念吗?
我认为不是,因为讲义上,这两个模型的表达式不一样,所以不应该用maket model解释return-generating mode。