A model of security returns that acknowledges only one common factor. The single factor is usually the market return. See: Factor model.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.
A mathematical calculation of the extent to which one macroeconomic factor affect the securities in a portfolio. Single-factor models attempt to account for contingencies like changes in interest rate or inflation. Usually, however, a single-factor model considers how the market return affects the return on the portfolio. See also: Risk analysis, Factor model.
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