When developing an equity factor risk model, why is it a good idea to include all of

Question:

When developing an equity factor risk model, why is it a good idea to include all of the return variables (the variables used to calculate stocks’ alphas) as factors in the risk model?

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

The Theory And Practice Of Investment Management

ISBN: 9780470929902

2nd Edition

Authors: Frank J Fabozzi, Harry M Markowitz

See More Books

Question Posted: Dec 19, 2023 01:35 AM

See More Questions

Tracking errorthe standard deviation of active returnsis a common measure of a portfolios ex ante risk. What are some limitations of using expected tracking error to measure the ex ante risk of an...
Why is it a good idea to include a photograph with a news release? What are the six aspects of a good publicity photo?
When defining a target audience for communications, why is it a good idea to use consumer behavior with respect to your brand as the primary variable before using variables such as demographics or...
At December 31, 2014, Torrealba Company reported the following as plant assets. During 2015, the following selected cash transactions occurred. April 1 Purchased land for $1,200,000. May 1 Sold...
Lasting impressions Co. records all cash receipts on the basis of its cash register tapes. Lasting Impressions Co. discovered during April 2012 that one of its sales clerks had stolen an undetermined...
Suppose the monetary authority prints fiat money at the rate but now does not distribute the newly printed money as a lump-sum subsidy. Instead, the government distributes the newly printed money by...
Find the probability of selecting a number that is not divisible by 1000.
On January 1, 2015, Port Company acquires 8,000 shares of Solvo Company by issuing 10,000 of its common stock shares with a par value of $10 per share and a fair value of $70 per share. The price...
Beginning work in process inventory 62,000 70% 30% Units started this period 332,000 Completed and transferred out 310,000 Ending work in process inventory 84,000 90% 40% The production department...
Two widely used methods for constructing equity portfolios are stratified samplinga type of rule-based approachand portfolio optimization. What are some of the advantages and disadvantages of each...
Going forward, the traditional and quantitative approaches to equity portfolio management are likely to converge: Successful investors will make full use of the best available tools. In fact, many...
Simplify the complex fraction. a + b3 a? + 2ab + b
Ranjha Inc. manufactures widgets. The end product is produced in different departments within the plant. One component, C1, is causing some concern. The component is integral to the production of...
. Write a Java program in NetBeans that creates a LinkedHashSet. Your Java program must use the methods in the LinkedHashSet interface to do the following: 2.1 Add the above elements into the...
on the following statement: Mona is an industrial engineer working for car parts manufacturing facility. She collected the following data on three alternatives of sustainable energy systems to be...
Alvarado Company produced 2,900 units of product that required 6 standard direct labor hours per unit. The standard fixed overhead cost per unit is $2.55 per direct labor hour at 16,200 hours, which...
Find the complexity of the function given below. void function(int n) { int i, count =0; for(i=1; i*i
A manufacturer is considering purchasing equipment which will have the following financial effects: If money is worth 6%, should he invest in the equipment? Year Disbursements Receipts $4400 660 660...
Give codons for the following amino acids: (a) Th (b) Asp (c) Thr
Discuss how slower population growth will affect businesses in your local community.
Discuss the impact of changes in the size and use of technology in the 1829 age group on marketing strategy planning in the United States.
Name three specific examples of firms that developed a marketing mix to appeal to senior citizens.
Suppose I have computed the cost of carbon per mile for my car at 0 . 0 1 2 per mile. Assume that the interest rate is 4 % and that I drive the car 2 8 , 0 0 0 miles per year. What is the present...
Imagine that in stable growth period, the firm earns ROIC of 10% and has after tax EBIT of 200 and reinvestment $ of 40. What is the steady state growth rate? 20% O 10% 2%
Tanner-UNF Corporation acquired as a long-term investment $160 million of 5.0% bonds, dated July 1, on July 1, 2021. Company management has the positive intent and ability to hold the bonds until...

When developing an equity factor risk model, why is it a good idea to include all of

Question:

Step by Step Answer:

Including all return variables used to calculate stock...View the full answer

The Theory And Practice Of Investment Management

Students also viewed these Business questions