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 that has market timing skills would have a portfolio in which the regression:
| has a positive "c" coefficient | ||
| has a negative "c" coefficient | ||
| has a positive "a" coefficient | ||
| has a negative "a" coeffcient |
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The Art Of Integrating Strategic Planning Process Metrics Risk Mitigation And Auditing
Authors: J.B. Smith
1st Edition
0873899253, 978-0873899253
