1．A multi-factor model that uses unexpected changes (surprises) in macroeconomic variables (e.g., inflation and gross domestic product) as the factors to explain asset returns is called a: A) fundamental factor model. B) statistical factor model. C) production factor model. D) macroeconomic factor model. The correct answer was D) Macroeconomic factor models use unexpected changes (surprises) in macroeconomic variables as the factors to explain asset returns. One example of a factor in this type of model is the unexpected change in gross domestic product (GDP) growth. In fundamental factor models, the factors are characteristics of the stock or the company that have been shown to affect asset returns, such as book-to-market or price-to-earnings ratios. A statistical factor model identifies the portfolios that best explain the historical cross-sectional returns or covariances among assets. The returns on these portfolios represent the factors. 2．A two-stock portfolio consists of the following: §
The portfolio consists of stock of Green Company (portfolio weight 30 percent) and Blue Company (portfolio weight 70 percent).
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Green’s expected return is 12 percent, Blue’s is 8 percent.
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Interest rates are expected to be 6 percent.
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Oil prices are expected to rise 2 percent.
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The two-factor model for Green Company is R(green) = 12 percent – 0.5 Fint - 0.5 Foil + egreen
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The two-factor model for Blue Company is R(blue) = 8 percent + 0.8 Fint + 0.4 Foil + eblue
If interest rates are actually 9 percent and oil prices do not rise, the return on the portfolio will be: A) 10.17 percent. B) 10.55 percent. C) 12.89 percent. D) 11.35 percent. The correct answer was A) R(green) is ((12) – (0.5 * 3) – (0.5 * -2) =) 11.5 percent. R(blue) is ((8) + (0.8 * 3) + (0.4 * -2) =) 9.6 percent. The portfolio return is ((.30)(11.5) + (.70)(9.6) =) 10.17 percent. 3．Identify the most accurate statement regarding multifactor models from among the following. A) Macrofactor models include explanatory variables such as the business cycle, interest rates, and inflation, and fundamental factor models include explanatory variables such as firm size and the price-to-earnings ratio. B) Macrofactor models include explanatory variables such as real GDP growth and the price-to-earnings ratio and fundamental factor models include explanatory variables such as firm size and unexpected inflation. C) Macrofactor models include explanatory variables such as firm size and unexpected inflation and fundamental factor models include explanatory variables such as real GDP growth and price-to-earnings ratios. D) Macrofactor models include explanatory variables such as firm size and the price-to-earnings ratio and fundamental factor models include explanatory variables such as real GDP growth and unexpected inflation. The correct answer was A) Macrofactor models include multiple risk factors such as the business cycle, interest rates, and inflation. Fundamental facotr models include specific characteristics of the securities themselves such as firm size and the price-to-earnings ratio. 4．A multi-factor model that identifies the portfolios that best explain the historical cross-sectional returns or covariances among assets is called a: A) statistical factor model. B) fundamental factor model. C) macroeconomic factor model. D) covariance factor model. The correct answer was A) A statistical factor model identifies the portfolios that best explain the historical cross-sectional returns or covariances among assets. The returns on these portfolios represent the factors. Macroeconomic factor models use unexpected changes (surprises) in macroeconomic variables as the factors to explain asset returns. One example of a factor in this type of model is the unexpected change in gross domestic product (GDP) growth. In fundamental factor models, the factors are characteristics of the stock or the company that have been shown to affect asset returns, such as book-to-market or price-to-earnings ratios. 5．Examples of macroeconomic variables that create systematic risk include: A) variability in the growth of the money supply. B) volatility in inflation rates. C) all of these choices are correct. D) changes in GDP growth rates. The correct answer was C) Systematic risk factors are those variables that (1)exhibit correlation with other variables and (2)explain the returns of many different assts. Volatility in inflation, GDP growth and the money supply are all examples of systematic risk factors. | 
发表于 2008-4-15 12:31
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