In a multifactor APT model, the coefficients on the macro factors are often called
A) systematic risk.
B) firm-specific risk.
C) idiosyncratic risk.
D) factor betas.

Question

Quizplus · Accepted Answer

In a multifactor Arbitrage Pricing Theory (APT) model, the coefficients on the macro factors are referred to as factor betas. These betas measure the sensitivity of the asset's returns to changes in the underlying macroeconomic factors.

In a Multifactor APT Model, the Coefficients on the Macro