In a multi-factor APT model,the coefficients on the macro factors are often called ______.
A)systemic risk
B)factor sensitivities
C)idiosyncratic risk
D)factor betas
E)B and D

Question

Quizplus · Accepted Answer

In a multi-factor Arbitrage Pricing Theory (APT) model, the coefficients on the macro factors are often referred to as "factor sensitivities" or "factor betas," which are represented by choices B and D.

In a Multi-Factor APT Model,the Coefficients on the Macro Factors