  521

,   0,10535.     -
:

, =  + (0,576  ) + (-0,19  Y) + (-0,105  5") ,          (17.18)

 ,  ,    ; ,  -
 ; ӗ  ; S  .   ,
   ,        
  .



   ,    
 

	
 	0,455
 	0,425
  	0,307
 	0,443
 	0,429
	0,394
	0,398
	0,255
 	0,340

 
  	0,576 -0,019 -0,105

: Blake Grossman and William F. Sharpe, Factors in Security Returns, paper presented at
the Center for the Study of Banking and Financial Markets, University of Washington, March 1984.



    ,     .
    1,2,     12  
4%,       - $7 . ( 
 100 .,     $70).     (17.18)
  :

, = 0,455 + (0,576  1,2) + (-0,19  4) + [-0,105 x (log 7)] =
= 0,455 + 0,69 - 0,08 - 0,09 = 0,98.

 ,    ,   -
  ,  ,     .
  ,         -
    86%36.     , 
 ,    ,   
 .      -    -
  ,     ,    -
       -.

17.8.4      -

     ,     --
    .       
     .    -