证券特征线 Security Characteristic Line 在上图中,横轴测度了市场指数(超过无风险利率的)的超额收 益,竖轴测度了GM的超额收益。一对超额收益(一个是市场超 额收益,一个是GM的超额收益)组成了散点图中的一点。这些 点从第1到第12,代表着从1月份到12月份每月的标准普尔500 指数和GM的超额收益。单指数模型表明,GM的超额收益与标 准普尔500指数的超额收益之间的关系由下式给定 The horizontal axis in Figure 10. 1 measures the excess return(over the risk-free rate) on the market index, whereas the vertical axis measures the excess return of gm stock. A pair of excess returns(one for the market index, one for GM stock) constitutes one point on this scatter diagram. The points are numbered 1 through 12, representing excess returns for the s&P 500 and GM for each month from January through December. The single-index model states that the relationship between the excess returns on GM and the s&P 500 is given by wMt=acM+βeMRM+eMt 10-16
10-16 证券特征线 Security Characteristic Line 在上图中，横轴测度了市场指数（超过无风险利率的）的超额收 益，竖轴测度了 GM的超额收益。一对超额收益（一个是市场超 额收益，一个是 GM的超额收益）组成了散点图中的一点。这些 点从第 1到第12，代表着从1月份到 12月份每月的标准普尔 500 指数和 GM的超额收益。单指数模型表明， GM的超 额收益与标 准普尔 500指数的超额收益之间的关系由下式给定 The horizontal axis in Figure 10.1 measures the excess return (over the risk-free rate) on the market index, whereas the vertical axis measures the excess return of GM stock. A pair of excess returns (one for the market index, one for GM stock) constitutes one point on this scatter diagram. The points are numbered 1 through 12, representing excess returns for the S&P 500 and GM for each month from January through December. The single-index model states that the relationship between the excess returns on GM and the S&P 500 is given by RGM t = αGM + βGM RMt + eGM t
证券特征线 Security Characteristic Line 这一关系类似于回归方程。在一个单变量的线性回归 等式中,依赖变量标在一条截距为α、斜率为β的直线 周围。假定这条线的偏差e与独立变量不相关;同样 ,它们相互之间也不相关 The resemblance of this relationship to a regression equation In a single-variable regression equation the dependent variable plots around a straight line with an intercept aand a slope B. the deviations from the line, e, are assumed to be mutually uncorrelated as well as uncorrelated with the independent variable 10-17
10-17 证券特征线 Security Characteristic Line 这一关系类似于回归方程。 在一个单变量的线性回归 等式中，依赖变量标在一条截距为α、斜率为β 的直线 周围。假定这条线的偏差 e 与独立变量不相关；同样 ，它们相互之间也不相关。 The resemblance of this relationship to a regression equation. In a single-variable regression equation, the dependent variable plots around a straight line with an intercept αand a slope β. The deviations from the line, e, are assumed to be mutually uncorrelated as well as uncorrelated with the independent variable