因子的敏感性是如何确定的？

问题如下：

Lam and Cheung discuss similarities and differences between macroeconomic factor models and fundamental factor models. Lam makes the following statements.

• Statement 1：The factors in fundamental factor models are based on attributes of stocks or companies, whereas the factors in macroeconomic factor models are based on surprises in economic variables.
• Statement 2：The factor sensitivities are generally determined first in fundamental factor models, whereas the factor sensitivities are estimated last in macroeconomic factor models.

Which of Lam’s statements regarding macroeconomic factor models and fundamental factor models is correct?

选项：

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statements 1 and 2

解释：

In a macroeconomic factor model, the factors are surprises in macroeconomic variables that significantly explain returns. Factor sensitivities are generally specified first in fundamental factor models, whereas factor sensitivities are estimated last in macroeconomic factor models.