Question
1) You estimate the market-model for portfolios A and B by running a regression. The results show that the R2 for portfolio A is 65%
1) You estimate the market-model for portfolios A and B by running a regression. The results show that the R2 for portfolio A is 65% and for portfolio B it is 50%. For which portfolio does the market model do a better job of predicting expected returns?
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The Handbook Of Sentiment Analysis In Finance
Authors: Gautam Mitra, Xiang Yu
1st Edition
1910571571, 978-1910571576
