Question
This regression equation is used to test for market timing ability: r Pt - r Ft = a + b(r Mt - r Ft )
This regression equation is used to test for market timing ability:
rPt- rFt= a + b(rMt- rFt) + c(rMt- rFt)x D A portfolio manager thathas market timing skillswould have a portfolio in which the regression:
hasapositive"c"coefficient
hasanegative"c"coefficient
hasapositive"a"coefficient
hasanegative"a"coeffcient
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Fundamentals Of Multinational Finance
Authors: Michael H. Moffett, Arthur I. Stonehill, David K. Eiteman
3rd Edition
0321541642, 9780321541642
