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Use the Equation for the Question(s) Below

Question 68

Multiple Choice

Use the equation for the question(s) below.
Consider the following factor model:
E[Rs] - rf = Use the equation for the question(s) below. Consider the following factor model: E[R<sub>s</sub>] - r<sub>f</sub> = (E[R<sub>Mkt</sub>] - r<sub>f</sub>) + E[R<sub>SMB</sub>] + E[R<sub>HML</sub>] + E[RPR1 YR] -The term measures the sensitivity of the securities returns to: A) momentum. B) the overall market. C) book to market. D) size. (E[RMkt] - rf) + Use the equation for the question(s) below. Consider the following factor model: E[R<sub>s</sub>] - r<sub>f</sub> = (E[R<sub>Mkt</sub>] - r<sub>f</sub>) + E[R<sub>SMB</sub>] + E[R<sub>HML</sub>] + E[RPR1 YR] -The term measures the sensitivity of the securities returns to: A) momentum. B) the overall market. C) book to market. D) size. E[RSMB] + Use the equation for the question(s) below. Consider the following factor model: E[R<sub>s</sub>] - r<sub>f</sub> = (E[R<sub>Mkt</sub>] - r<sub>f</sub>) + E[R<sub>SMB</sub>] + E[R<sub>HML</sub>] + E[RPR1 YR] -The term measures the sensitivity of the securities returns to: A) momentum. B) the overall market. C) book to market. D) size. E[RHML] + Use the equation for the question(s) below. Consider the following factor model: E[R<sub>s</sub>] - r<sub>f</sub> = (E[R<sub>Mkt</sub>] - r<sub>f</sub>) + E[R<sub>SMB</sub>] + E[R<sub>HML</sub>] + E[RPR1 YR] -The term measures the sensitivity of the securities returns to: A) momentum. B) the overall market. C) book to market. D) size. E[RPR1 YR]
-The term Use the equation for the question(s) below. Consider the following factor model: E[R<sub>s</sub>] - r<sub>f</sub> = (E[R<sub>Mkt</sub>] - r<sub>f</sub>) + E[R<sub>SMB</sub>] + E[R<sub>HML</sub>] + E[RPR1 YR] -The term measures the sensitivity of the securities returns to: A) momentum. B) the overall market. C) book to market. D) size. measures the sensitivity of the securities returns to:


A) momentum.
B) the overall market.
C) book to market.
D) size.

Correct Answer:

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