Single-Index Model

Also found in: Wikipedia

0.01 sec.

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

Single-Index Model

The relationship between a security's performance and the performance of a portfolio containing it. The market model states that the security's performance is related to its portfolio's performance, according to its beta. It is calculated as follows:

Return on security = alpha + beta * return on portfolio + residual return

Want to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit the webmaster's page for free fun content.

?Page tools

Printer friendly
Cite / link

Feedback
Add definition

Mentioned in	?		References in periodicals archive	?		Financial browser	?		Full browser	?
Index Model Market Model			There are three common approaches to modeling the normal return: the single-index model (constant mean return model), the market model, and the CAPM model. Abnormal returns to mergers and acquisitions in ten Asian stock ... by Ma, Jianyu; Pagan, Jose A.; Chu, Yun / International Journal of Business Equation 1: Single-index Model for Returns of Singapore's Domestic Equity Funds [RET. Bank fund management challenges and opportunities by Sing, Tng Cheong / Singapore Management Review STUDY APPROACHES AND SINGAPORE TEST CASE Using a case study on Singapore office price indices as a test case, a single-index model is constructed as the starting point of this study. Office price index lagging in Singapore and Hong Kong by Hui, Eddie Chi Man; Yu, Ka Hung; Ho, David Kim Hin / International Journal of Strategic Property Management			Sinergia Sinful Stock Singapore Exchange Singapore Interbank Offered Rate Singapore International Monetary Exchange Singapore Ministerial Declaration Singaporean Dollar Single single agency Single Annuitant Single Currency Peg Single European Act Single Life Annuity single load corridor Single Option single pay loan Single Premium Single Premium Deferred Annuity Single State Municipal Bond Fund Single Stock Future single-asset entity Single-Buyer Policy Single-Country Fund Single-Factor Model single-family housing Single-Index Model Single-Lender Web Site Single-Payment Bond Single-Premium Deferred Annuity Single-Premium Life Insurance single-purpose entity single-room occupancy Single-State Municipal Bond Fund sinker sinking fund Sinking Fund Bond Sinking Fund Call Sinking Fund Provision Sinking Fund Requirement sinking ship SIOR SIPC Sistema acelerado de recuperacion de costos Sistema consolidado de cotizaciones Sistema de capitalizacao Sistema de capitalizacion Sistema de convertibilidad de la moneda Sistema monetario SIT Sit Tight Sit-Down Strike			single-handedly single-handedness single-hander single-handing single-hands single-heading flight single-hearted single-heartedly single-heartedness Single-Hit Poisson Model Single-Hole Pencil-Point Single-Hop Delay Single-Hop Gap Model Single-Hop Grooming single-hop transmission single-hub cartridge single-hub pipe Single-Hull Oil Tanker single-humped single-humped camel single-humped camel single-humped camel single-hung window Single-Image Random Dot Stereogram Single-image stereogram single-impulse welding Single-Index Model Single-Input Three-Output Single-instance storage single-instruction-stream, multiple-data-stream single-instruction-stream, single-data-stream Single-Ion Monitoring single-issue Single-issue politics Single-Item Self-Esteem single-J groove weld Single-Junction Thermal Converter single-keyboard point-of-sale system Single-Kidney Glomerular Filtration Rate single-lane single-lap tile single-layer bit Single-Layer Microchip Capacitor Single-Layer Patch Antenna single-layer solenoid single-leaf single-leaf pine single-leaf pinyon Single-Leg Hybrid Riser Single-Lender Web Site single-length

Financial Dictionary

Free Tools:	For surfers: Free toolbar & extensions \| Word of the Day \| Help For webmasters: Free content \| Linking \| Lookup box \| Double-click lookup

Disclaimer
All content on this website, including dictionary, thesaurus, literature, geography, and other reference data is for informational purposes only. This information should not be considered complete, up to date, and is not intended to be used in place of a visit, consultation, or advice of a legal, medical, or any other professional.