Use the Equation for the Question(s)below

question 28

Multiple Choice

Use the equation for the question(s) below.
Consider the following factor model:
E[R_s] - r_f = (E[R_Mkt] - r_f) + E[R_SMB] + E[R_HML] + E[RPR1 YR]
-The term
Measures the sensitivity of the securities returns to:

• A)momentum.
• B)the overall market.
• C)book-to-market.
• D)size.

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