Question: Some studies related to the efficient market hypothesis generated results
Some studies related to the efficient market hypothesis generated results that implied additional factors beyond beta should be considered to estimate expected returns. What are these other variables and why should they be considered?
Answer to relevant QuestionsSuppose you are considering the purchase of shares in the XYZ mutual fund. As part of your investment analysis, you regress XYZ's monthly returns for the past five years against the three factors specified in the Fama and ...Jeffrey Bruner, CFA, uses the capital asset pricing model (CAPM) to help identify mispriced securities. A consultant suggests Bruner use the arbitrage pricing theory (APT) instead. In comparing the CAPM and the APT, the ...a. Using regression analysis, calculate the factor betas of each stock associated with each of the common risk factors. Which of these coefficients are statistically significant?b. How well does the factor model explain the ...Give an example of how a cash flow ratio might differ from a proportion of debt ratio.Assuming these ratios differ for a firm (e.g., the cash flow ratios indicate high financial risk, while the proportion of debt ratio ...Three companies have the following results during the recent period.a. Derive for each its return on equity based on the three DuPont components.b. Given the following earnings and dividends, compute the estimated ...
Post your question