Which of the following statements regarding Beta are true: I. Beta is the slope of the characteristic line of a regression of an investment’s historical returns (dependent variable) on the historical returns of the market (independent variable). II. Beta is a measure of an investment’s systematic risk relative to a proxy for the market. III. Historical betas above one tend to move towards unity in forthcoming periods. IV. Betas of portfolios of stocks tend to be more stable than betas of single stocks because of the tendency of positive and negative values of regression error terms to cancel. A. I., II., and III. only B. I. and II. only C. All of the above D. II., III., and IV. only is IV correct?
where is this Q coming from, we dont need to know anything about regression
B? What is the answer?
answer is C… i am not sure about 4th statement… rest look ok… I got this from “Security Analysts of San Francisco Mock Exam”
it’s a dated question, L1 used to have regression analysis in it but it got moved entirely to L2 starting a the June '08 exam. They are all correct, but Northeastern Student is right, it doesn’t matter for L1 this Saturday.