Which of the Following Is True of the Market Model

question 8

Multiple Choice

Which of the following is true of the market model regression?

• A)The regression intercept has a variance equal to the marginal variance.
• B)The regression slope coefficient is a constant.
• C)The market return and the regression residual are uncorrelated.
• D)The regression residual is the component which measures the sensitivity of a security?s return to the market return.

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