Empirically, CAPM model is tested by a. Running a linear regression of historical returns of a stock
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Question:
Empirically, CAPM model is tested by
a.
Running a linear regression of historical returns of a stock on historical returns of the market portfolio
b.
Running linear regressions of historical returns of stocks on historicalreturns of the market portfolio and then running a linear regression of historical mean of stock returns on stocks' beta found in the first regressions
c.
Running a linear regression of historical mean of stock returns on stocks' beta and then running linear regressions of historical returns of stocks on historical returns of the market portfolio
d.
Running a linear regression of historical mean of stock returns on stocks' beta
e.
None of the above
Related Book For
Statistics For Business Decision Making And Analysis
ISBN: 9780321890269
2nd Edition
Authors: Robert Stine, Dean Foster
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