为什么相关性是被低估的？

问题如下：

With respect to his explanation of appraisal data bias, O’Reilly is most likely:

选项：

A.correct. B.incorrect, because the measured volatilities biased upward. C.incorrect, because correlations with other assets tend to be understated.

解释：

Solution

C is correct. O’Reilly’s explanation of appraisal data bias is incorrect because calculated correlations with other assets tend to be understated not exaggerated. O’Reilly is correct in that appraisal values tend to be less volatile than market determined values for identical assets and therefore measured volatilities are biased downward.

A is incorrect. O’Reilly’s comment regarding calculated correlations is incorrect.

B is incorrect. O’Reilly’s comment regarding measured volatilities is accurate.

题目考察的是做预测时的所遇到的具体问题挑战。主人公对appraisal data bias的解释是错误的。因为计算所得的与其他资产的相关性往往被低估而不是夸大。对于相同的资产，评估的波动性往往小于市场真实的数值，因此测量的波动性是低估的。对于这点，主人公的论述是正确的。