投资学课后习题答案Chap013.pdfVIP

CHAPTER 13: EMPIRICAL EVIDENCE ON SECURITY RETURNS CHAPTER 13: EMPIRICAL EVIDENCE ON SECURITY RETURNS PROBLEM SETS 1. Even if the sin le-factor CCAPM (with a consumption-trackin portfolio used as the index) performs better than the CAPM, it is still quite possible that the consumption portfolio does not capture the size and rowth characteristics captured by the SMB (i.e., small minus bi capitalization) and HML (i.e., hi h minus low book-to-market ratio) factors of the Fama-French three-factor model. Therefore, it