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, Ri =αi +βiRm +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?