Which of the following is true of firm characteristics to estimate factors?
A) It provides the most intuitive interpretation of the market factors.
B) It uses macroeconomic time-series that capture changes in productivity,interest rates and inflation to act as proxies for the factors generating security returns.
C) Portfolios are selected on the basis of past return anomalies.
D) It assumes that covariances are constant.
Correct Answer:
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Q1: Explain the multifactor model equation.
Q2: Which of the following is a non-diversifiable
Q4: Factor risk is not diversifiable in the
Q5: Which of the following is an assumption
Q6: Based on the market model,explain the two
Q7: The _ of a security is the
Q8: Explain the construction of tracking portfolio for
Q9: Which of the following is true
Q10: If equity A's beta on the inflation
Q11: Factor analysis:
A)uses macroeconomic time-series that capture changes
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