NO.PZ2018091701000015
问题如下:
Analysts make two conclusions about macroeconomic model and fundamental model:
Conclusion one: the factors in macroeconomic model are based on surprises in economic variables and the factors in fundamental model are based on P/E or size.
Conclusion two: the factor sensitivities are determined first in macroeconomic model, the factor sensitivities are determined last in fundamental model.
Which of the following statement is most likely correct?
选项:
A.Both conclusion one and two are correct.
B.Only conclusion two is correct.
C.Only conclusion one is correct.
解释:
C is correct.
考点:macroeconomic model and fundamental model 的变量辨析
解析:结论一说的是宏观经济模型里的factor是surprise,基本面模型里的factor是和公司相关的指标。
结论二的说法是错误的,正确的说法是,在宏观经济模型里,F是真实的数据,b是回归求出的,所以首先确定的是F。在基本面模型里,b是真实的数据,F是回归出来的,所以首先确定的是b。
the factor sensitivities are determined first in macroeconomic model, the factor sensitivities are determined last in fundamental model. 这句话的前半句是对的吧?后半句最后确定的是F,是错的,那F是回归来的,F是不是最后确定的呢,
答案正确的说法是,在宏观经济模型里,F是真实的数据,b是回归求出的,所以首先确定的是F。在基本面模型里,b是真实的数据,F是回归出来的,所以首先确定的是b。