single-factor

In reference to R10.P1.T1.BODIE_CH10_SINGLE_FACTOR_MODEL_vs_CAPM :- The CAPM Pricing Model is often referred to as the Single Factor Model. But the Single Factor Model is :- Ri = E(Ri) + Beta*F(Macro-Factor) + Non-Systemic-Firm-Specific-Risk Whereas, For the CAPM:- Ri = Rf (Risk-Free-Rate) +...

Learning objectives: Describe the inputs, including factor betas, to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Questions 704.1. Suppose that three factors have been identified for the U.S. economy: Expected inflation rate...