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In regression of capital asset pricing model, an intercept of excess returns is classified as
Answer & Solution
Correct Answer:
Option
C
In regression of capital asset pricing model, an intercept of excess returns is classified as Jensen's alpha. Jensen's Alpha, also known as the Jensen's Performance Index, is a measure of the excess returns earned by the portfolio compared to returns suggested by the CAPM model. It represents by the symbol α. The value of the excess return may be positive, negative, or zero.
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