INVESTMENTS_投资学_（博迪BODIE,_KANE,_MARCUS）Chap008_Index_Models教材教学课件.pptVIP

CHAPTER 8;Reduces the number of inputs for diversification Easier for security analysts to specialize; βi = response of an individual security’s return to the common factor, m. Beta measures systematic risk. m = a common macroeconomic factor that affects all security returns. The SP 500 is often used as a proxy for m. ei = firm-specific surprises ;Single-Index Model;Single-Index Model ;Single-Index Model;Index Model and Diversification;Figure 8.1 The Variance of an Equally Weighted Portfolio with Risk Coefficient βp;Table 8.1 Interpretation;Figure 8.4 Excess Returns on Portfolio Assets