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Use the Equation for the Question(s)below

Question 44

Multiple Choice

Use the equation for the question(s) below.
Consider the following regression model:
Rs - rf = as + Use the equation for the question(s) below. Consider the following regression model: R<sub>s</sub> - r<sub>f</sub> = a<sub>s</sub> + (R<sub>F</sub><sub>1</sub> - r<sub>f</sub>) + (R<sub>F</sub><sub>2</sub> - r<sub>f</sub>) + e -The term a<sub>s </sub>is a(n) : A) error term that has an expectation of zero and is uncorrelated with either factor. B) measure of the expected percent change in the excess return of a security for a 1% change in the excess return of the first factor portfolio. C) measure of the expected percent change in the excess return of a security for a 1% change in the excess return of the second factor portfolio. D) constant term. (RF1 - rf) + Use the equation for the question(s) below. Consider the following regression model: R<sub>s</sub> - r<sub>f</sub> = a<sub>s</sub> + (R<sub>F</sub><sub>1</sub> - r<sub>f</sub>) + (R<sub>F</sub><sub>2</sub> - r<sub>f</sub>) + e -The term a<sub>s </sub>is a(n) : A) error term that has an expectation of zero and is uncorrelated with either factor. B) measure of the expected percent change in the excess return of a security for a 1% change in the excess return of the first factor portfolio. C) measure of the expected percent change in the excess return of a security for a 1% change in the excess return of the second factor portfolio. D) constant term. (RF2 - rf) + e
-The term as is a(n) :


A) error term that has an expectation of zero and is uncorrelated with either factor.
B) measure of the expected percent change in the excess return of a security for a 1% change in the excess return of the first factor portfolio.
C) measure of the expected percent change in the excess return of a security for a 1% change in the excess return of the second factor portfolio.
D) constant term.

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