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Consider the following regression model: The b i in the regression a) measures the diversifiable risk in returns. b) measures the deviation from the best
Consider the following regression model:
The bi in the regression
a) | measures the diversifiable risk in returns. | |
b) | measures the deviation from the best fitting line and is zero on average. | |
c) | measures the sensitivity of the security to market risk. | |
d) | measures the historical performance of the security relative to the expected return predicted by the SML. |
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