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oli · 2021年11月07日

请问A项,老师上课时说market model的Ri是real return,capm的是理论上的expected return, 为什么a项说预测的是expected ruturn是对的呢?

NO.PZ2018070201000091

问题如下:

Which of the following is most accurate in the return-generating model?

选项:

A.

Return-generating models are used to directly estimate the expected return of a security.

B.

Return-generating models are used to directly estimate the weights of securities in a portfolio.

C.

Return-generating models are used to directly estimate the parameters of the capital market line.

解释:

A is correct.

In the market model, RiiiRm +ei,  we use historical security and market returns to estimate the intercept, αi, and slope coefficient,βi. Based on the intercept and slope coefficient, we can predict firm-specific returns of a security.

请问A项,老师上课时说market model的Ri是real return,capm的是理论上的expected return, 为什么a项说预测的是expected ruturn是对的呢?

1 个答案

Kiko_品职助教 · 2021年11月07日

嗨,努力学习的PZer你好:


这是三个不同的模型。这道题说的是多因素模型,多因素模型认为股票收益率也是正常Rf+risk primuim,只不过这个risk primium是从多个风险因子角度考虑的。用来预测expected return没有问题啊。CAPM认为当市场处于均衡状态的时候收益率。market model是考虑了abnormal return。

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