- single-index model
- A model of stock returns that decomposes influences on returns into a systematic factor, as measured by the return on the broad market index, and firm specific factors . Related: market model
Financial and business terms. 2012.
single-index model
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Single-index model — The single index model (SIM) is an asset pricing model commonly used in the finance industry to measure risk and return of a stock. Mathematically the SIM is expressed as:: rit rf = ai + Bi(rmt rf) + Eit ,: R i = alpha i + eta iR m,where:: rit − … Wikipedia
Single index model — A model of stock returns that decomposes influences on returns into a systematic factor, as measured by the return on the broad market index, and firm specific factors. The New York Times Financial Glossary … Financial and business terms
Single-index model — Related: market model … Financial and business terms
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Market model — This relationship is sometimes called the single index model. The market model says that the return on a security depends on the return on the market portfolio and the extent of the security s responsiveness as measured, by beta. In addition, the … Financial and business terms
market model — The market model says that the return on a security depends on the return on the market portfolio and the extent of the security s responsiveness as measured by beta. The return also depends on conditions that are unique to the firm. The market… … Financial and business terms
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