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Which of the followings is correct about residuals in the single-index model? a. It captures risk premium related to some unknown risk factors b. Its

Which of the followings is correct about residuals in the single-index model?

a. It captures risk premium related to some unknown risk factors

b. Its value can be anticipated by investors

c. It is the vertical distance between a point and the security characteristic line (SCL)

d. It represents systematic return components

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