- CFA Exams
- CFA Level I Exam
- Topic 5. Equity Valuation
- Learning Module 21. Return Concepts
- Subject 4. The Required Return on Equity - Other Models
CFA Practice Question
Which of the following beta coefficients has the neutral value of 0 (in the Pastor-Stambaugh Model)?
II. size beta.
III. liquidity beta.
IV. market beta.
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. |