Chap008指数模型.pptVIP

INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 8 Index Models 指数模型 8-* Reduces the number of inputs for diversification减少分散化所需要的证券数量 Easier for security analysts to specialize使得证券分析更容易 Advantages of the Single Index Model单指数模型的优势 8-* βi = response of an individual security’s return to the common factor, m. Beta measures systematic risk.单个证券对市场因子的反应，衡量的是系统风险 m = a common macroeconomic factor that affects all security returns. The SP 500 is often used as a proxy for m.共同