In a Multi-Factor APT Model,the Coefficients on the Macro Factors

question 22

Multiple Choice

In a multi-factor APT model,the coefficients on the macro factors are often called ______.

• A)systemic risk
• B)firm-specific risk
• C)idiosyncratic risk
• D)factor loadings
• E)none of the above

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Definitions:

Sample Proportion

The fraction of items in a sample meeting a certain criterion, representing a subset of the population fraction with that characteristic.

Sample Mean

The average value of a sample set of numbers, calculated by adding up all the observations and dividing by the number of observations.

Standard Error

The standard deviation of the sampling distribution of a statistic, typically the mean, indicating the accuracy of the sample mean compared to the population mean.

Variance

A statistical measure that represents the dispersion or spread of a set of data points, calculated as the average of the squared differences from the mean.