TEST BANK FOR The Econometrics of Financial Market
Maastricht University (UM)
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Exam (elaborations) TEST BANK FOR The Econometrics of Financial Market
- Tentamen (uitwerkingen) • 68 pagina's • 2022
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Exam (elaborations) TEST BANK FOR The Econometrics of Financial Market
Consider the case where the common factor ft is the (observable) market portfolio. Then
the true beta of security i is i as in (3.1.1) and the beta computed from observed returns
o
i is given by
o
i = Cov[r
o
it; ft ]= Var[ft] = E[ftX1
k=0 Xit(k)ri;t
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Exam (elaborations) TEST BANK FOR The Econometrics of Financial Market
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Exam (elaborations) TEST BANK FOR The Econometrics of Financial Market Consider the case where the common factor ft is the (observable) market portfolio. Then the true beta of security i is i as in (3.1.1) and the beta computed from observed returns o i is given by o i = Cov[r o it; ft ]= Var[ft] = E[ftX1 k=0 Xit(k)ri;t
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