handbook page 772 example 30. 12:
you are asked to estimate the exposure of a hedge fund to the s&p 500. though the fund claims to MTM weekly,it does not do so and MTM once a month. the fund also does not tell investors that it simply holds an ETF indexed to the s&p 500. because of the claims of the hedge fund , you decided to estimate the market exposure by regressing weekly returns of the fund on the weekly return of the s&p500. which of the following correctly describes a property of you regression estimates?
a the intercept of your regression will be positive ,showing that the fund has a positive alpha when estimated using an OLS regression.
b the beta will be misestimated because hedge fund exposures are non-linear.
c the beta of your regression will be one because the fund holds the s&p500.
d the beta of your regression will be zero because the fund returns are not synchronous with the s&p500 returns.
此题在HANDBOOK中的答案是D,但GRAP 公布的2009 practice exams 中同样有此题 ，但其答案是A，其解释为the alpha is spurious and results from the fact that returns are non-synchronous .the beta is greater than zero and less than one because of non-synchroneity.本人统计学学的比较烂 ，感觉有点晕，有没有这方面的高手能解惑？谢谢 。
