Use the Equation for the Question(s) Below

question 74

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.

---

Definitions:

Two Categories

Descriptive of data or entities that can be divided into two distinct groups.

Chi-squared Goodness-of-fit

A statistical test used to determine if observed data matches the expected distribution of a given hypothesis.

Chi-squared Tests

Statistical tests used to determine if there is a significant difference between observed frequencies and the frequencies expected under a specific hypothesis.

Nominal Data

Categorical data that cannot be logically ordered or ranked.