CFA Practice Question

There are 57 practice questions for this study session.

CFA Practice Question

Which of the following beta coefficients has the neutral value of 0 (in the Pastor-Stambaugh Model)?

I. value beta.
II. size beta.
III. liquidity beta.
IV. market beta.
Correct Answer: I, II and III

The average market beta is 1, not 0.

User Contributed Comments 2

User Comment
allanzhu why is not I
ljamieson it can be positive or negative, and mean is zero.
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