One of the Basic Assumptions of the Time-Series Approach to Estimating

question 37

Multiple Choice

One of the basic assumptions of the time-series approach to estimating factor models is

• A) the investor knows in advance the impact of inflation on historical returns
• B) the investor knows in advance the relevant factors that influence security returns
• C) the model builder begins with estimates of a security's sensitivities to certain factors
• D) that the model builder knows nothing about factor values nor sensitivities

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