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.
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
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The detailed answer for the above question is provided below The correct option is c Running a linea...
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Statistics For Business Decision Making And Analysis
Authors: Robert Stine, Dean Foster
2nd Edition
978-0321836519, 321836510, 978-0321890269
