MULTI-FACTOR MODEL
A financial model which uses numerous variable in its calculations to demonstrate market equilibrium and/or phenomena in asset prices. This model can be used to rationalize either an underlying security or a portfolio of securities by assimilating two or more variables to assess relationships between these factors and its performance.
Variables are measured using this formula:
Ri = ai + βi(m) Rm + βi(1)F1 + βi(2)F2 +…+βi(N)FN + ei
Where:
Ri = returns of security i Rm = the market revenue F(1,2,3…N) = every factors used β = the beta with respect to every factor including the market (m) e = the error term a = the intercept
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07:00 | Leading Indicators | Jan | |
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13:00 | CBI retail sales volume balance | Mar | |
13:00 | CBI retail sales volume balance | Mar | |
14:25 | FOMC Member Raphael W. Bostic Speaks | ||
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16:00 | New Home Sales | Feb | |
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01:30 | Westpac Consumer Sentiment | Mar |