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The multi-index is silent on the identity of the indexes to use in modelling returns. Discuss how you would go about identifying these factors in the context of Chen, Roll and Ross (1986), Burmeister, Roll and Ross (2003) and any other studies you are familiar with. [Chen, N, Roll, R. and Ross, S. (1986). Economic Forces and the Stock Market, Journal of Business, Vol. 59, pp 386-403. Burmeister, E., Roll, R. and Ross, R. (2003), Using Macroeconomic Factors to Control Portfolio Risk, Working Paper, BIRR Portfolio Analysis, In.].

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Financial Management, Finance

Category:- Financial Management
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