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秋樣 · 2024年01月29日

CME - 数据问答题

NO.PZ2022122601000002

问题如下:

Wuyan reports that after repeatedly searching the most recent 10 years of data, she eventually identified variables that had a statistically significant relationship with equity returns. Wuyan used these variables to forecast equity returns. She documented, in a separate section of the report, a high correlation between nominal GDP and equity returns. Based on this noted high correlation, Wuyan concludes that nominal GDP predicts equity returns. Based on her statistical results, Wuyan expects equities to underperform over the next 12 months and recommends that the firm underweight equities.

Commenting on the report, John Tommanson, an investment adviser for the firm, suggests extending the starting point of the historical data back another 20 years to obtain more robust statistical results. Doing so would enable the analysis to include different economic and central bank policy environments. Tommanson is reluctant to underweight equities for his clients, citing the strong performance of equities over the last quarter, and believes the most recent quarterly data should be weighted more heavily in setting capital market expectations.

Discuss how each of the following forecasting challenges evident in Wuyan’s report and in Tommanson’s comments affects the setting of capital market expectations:

i. Status quo bias

ii. Data-mining bias

iii. Risk of regime change

iv. Misinterpretation of correlation

选项:

解释:

Status quo bias

Tommanson’s statement that he is reluctant to underweight equities given the strong performance of equities over the last quarter is an example of status quo bias. His statement that the most recent quarterly data should be weighted more heavily in setting capital market expectations is also an example of this bias. Status quo bias reflects the tendency for forecasts to perpetuate recent observations and for managers to then avoid making changes. Status quo bias can be mitigated by a disciplined effort to avoid anchoring on the status quo.

Data-mining bias

In Wuyan’s report, data-mining bias arises from repeatedly searching a data set until a statistically significant pattern emerges. Such a pattern will almost inevitably occur, but the statistical relationship cannot be expected to have predictive value. As a result, the modeling results are unreliable. Irrelevant variables are often included in the forecasting model. As a solution, the analyst should scrutinize the variables selected and provide an economic rationale for each variable selected in the forecasting model. A further test is to examine the forecasting relationship out of sample.

Risk of regime change

The suggestion by Tommanson to extend the data series back increases the risk of the data representing more than one regime. A change in regime is a shift in the technological, political, legal, economic, or regulatory environments. Regime change alters the risk–return relationship since the asset’s risk and return characteristics vary with economic and market environments. Analysts can apply statistical techniques that account for the regime change or simply use only part of the whole data series.

Misinterpretation of correlation

Wuyan states that the high correlation between nominal GDP and equity returns implies nominal GDP predicts equity returns. This statement is incorrect since high correlation does not imply causation. In this case, nominal GDP could predict equity returns, equity returns could predict nominal GDP, a third variable could predict both, or the relationship could merely be spurious. Correlation does not allow the analyst to distinguish between these cases. As a result, correlation relationships should not be used in a predictive model without understanding the underlying linkages between the variables.

中文解析:

现状偏见

Tommanson表示,鉴于股市在上一季度的强劲表现,他不愿减持股票,这是维持现状偏见的一个例子。他曾表示,在设定资本市场预期时,应更重视最新季度数据,这也是这种偏见的一个例子。现状偏见反映了预测倾向于延续最近的观察结果,而管理者则倾向于避免做出改变。通过有纪律的努力,避免固守现状,可以减轻对现状的偏见。



数据挖掘的偏见

在Wuyan的报告中,数据挖掘偏差源于反复搜索数据集,直到出现统计上显著的模式。这种模式几乎不可避免地会发生,但不能指望统计关系具有预测价值。因此,建模结果是不可靠的。预测模型中经常包含不相关的变量。作为解决方案,分析师应该仔细检查所选择的变量,并为预测模型中选择的每个变量提供经济基础。进一步的检验是检验样本外的预测关系。



政权更迭的风险

Tommanson提出的将数据序列往后延伸的建议,增加了数据代表多个政体的风险。制度的改变是指技术、政治、法律、经济或监管环境的转变。由于资产的风险和收益特征随着经济和市场环境的变化而变化,制度变化改变了风险-收益关系。分析人员可以应用统计技术来解释制度变化,或者仅仅使用整个数据系列的一部分。

i. Status quo bias:due to the strong performance of equities over the last quarter, Tommanson is reluctant to underweight equities for his clients, and believes the most recent quarterly data should be weighted more heavily in setting capital market expectations. This is Status quo bias.


ii. Data-mining bias:Wuyan used the most recent 10 years of data repeatedly to figure out if there's any statistically significant relationship among variables and equity returns. the action of repeatedly searching data is Data-mining bias.


iii. Risk of regime change:Tommanson suggests extending the starting point of the historical data back another 20 years, and the 20 years actually include different economic and central bank policy environments, which will cause the risk of regime change. 


iv. Misinterpretation of correlation:Based on the noted high correlation between nominal GDP and equity returns., Wuyan concludes that nominal GDP predicts equity returns. this is Misinterpretation of correlation, because the high correlation does not imply causation.


你好老师,麻烦给我批改下答案。请问:1⃣️ 我原文复制黏贴能行吗?2⃣️ 我的回答还有什么大问题吗?能得多少分?我算了下这道题写这么多起码超过6分钟了,要再写多要花更多时间,实在来不及了。

2 个答案

源_品职助教 · 2024年01月30日

嗨,从没放弃的小努力你好:


总结是可以的,但就是比如“影响”这类要点不要漏了。

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加油吧,让我们一起遇见更好的自己!

源_品职助教 · 2024年01月29日

嗨,爱思考的PZer你好:


同学的答案是找出了每类偏差对应文中的信息,但是题目问了这些偏差对于资本市场有什么影响,同学的答案中漏了这块,比如,数据挖掘偏差,解析中写了,“因此,建模结果是不可靠的。”,这就是影响,并且解析也写了对应解决方案。所以直接粘贴原文是要被扣分的(扣多少的话,这边没有相关依据作为参考)
同学来不及也不用太担心,毕竟经典题收录的是过往一些模拟或是课后题。实际考试中,考题答案所需要的时长是会被更加细致考虑估算的。即便出现极端情况,确实来不及写,那大家都是来不及,所以也不用特别担心。同学6分钟写这么多,速度上是OK的。

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努力的时光都是限量版,加油!

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NO.PZ2022122601000002 问题如下 Wuyreports thafter repeatey searching the most recent 10years of tshe eventually intifievariables thha statisticallysignificant relationship with equity returns. Wuyusethese variables toforecast equity returns. She cumente in a separate section of the report, ahigh correlation between nominG anequity returns. Baseon this noteigh correlation, Wuyconclus thnominG prects equity returns.Baseon her statisticresults, Wuyexpects equities to unrperform overthe next 12 months anrecommen ththe firm unrweight equities.Commenting on thereport, John Tommanson, investment aiser for the firm, suggests extenngthe starting point of the historicta baanother 20 years to obtain morerobust statisticresults. ing so woulenable the analysis to inclufferent economic ancentrbank polienvironments. Tommanson is reluctantto unrweight equities for his clients, citing the strong performanofequities over the last quarter, anbelieves the most recent quarterly tashoulweightemore heavily in setting capitmarket expectations.scuss how eaof thefollowing forecasting challenges evint in Wuyan’s report anin Tommanson’scomments affects the setting of capitmarket expectations:i. Status quo biii. ta-mining biiii. Risk of regime changeiv. Misinterpretation of correlation Status quo bi Tommanson’sstatement thhe is reluctant to unrweight equities given the strongperformanof equities over the last quarter is example of status quo bias.His statement ththe most recent quarterly ta shoulweightemoreheavily in setting capitmarket expectations is also example of this bias.Status quo bireflects the tennfor forecasts to perpetuate recentobservations anfor managers to then avoimaking changes. Status quo bicanmitigatea sciplineeffort to avoianchoring on the status quo. ta-mining bi In Wuyan’sreport, ta-mining biarises from repeatey searching a ta set until astatistically significant pattern emerges. Sua pattern will almostinevitably occur, but the statisticrelationship cannot expecteto haveprective value. a result, the moling results are unreliable. Irrelevantvariables are often incluin the forecasting mol. a solution, theanalyst shoulscrutinize the variables selecteanprovi economicrationale for eavariable selectein the forecasting mol. A further testis to examine the forecasting relationship out of sample. Risk of regimechange The suggestion byTommanson to extenthe ta series baincreases the risk of the tarepresenting more thone regime. A change in regime is a shift in thetechnological, political, legal, economior regulatory environments. Regimechange alters the risk–return relationship sinthe asset’s risk anreturncharacteristivary with economic anmarket environments. Analysts capplystatistictechniques thaccount for the regime change or simply use onlypart of the whole ta series. Misinterpretationof correlation Wuystates thatthe high correlation between nominG anequity returns implies nominGprects equity returns. This statement is incorresinhigh correlationes not imply causation. In this case, nominG coulpreequityreturns, equity returns coulprenominG, a thirvariable coulreboth, or the relationship coulmerely spurious. Correlation esnot allow the analyst to stinguish between these cases. a result,correlation relationships shoulnot usein a prective mol withoutunrstanng the unrlying linkages between the variables. 中文解析现状偏见Tommanson表示,鉴于股市在上一季度的强劲表现,他不愿减持股票,这是维持现状偏见的一个例子。他曾表示,在设定资本市场预期时,应更重视最新季度数据,这也是这种偏见的一个例子。现状偏见反映了预测倾向于延续最近的观察结果,而管理者则倾向于避免做出改变。通过有纪律的努力,避免固守现状,可以减轻对现状的偏见。数据挖掘的偏见在Wuyan的报告中,数据挖掘偏差源于反复搜索数据集,直到出现统计上显著的模式。这种模式几乎不可避免地会发生,但不能指望统计关系具有预测价值。因此,建模结果是不可靠的。预测模型中经常包含不相关的变量。作为解决方案,分析师应该仔细检查所选择的变量,并为预测模型中选择的每个变量提供经济基础。进一步的检验是检验样本外的预测关系。政权更迭的风险Tommanson提出的将数据序列往后延伸的建议,增加了数据代表多个政体的风险。制度的改变是指技术、政治、法律、经济或监管环境的转变。由于资产的风险和收益特征随着经济和市场环境的变化而变化,制度变化改变了风险-收益关系。分析人员可以应用统计技术来制度变化,或者仅仅使用整个数据系列的一部分。 因为跟 的内容很像, 考纲也没有了 还需要背吗

2024-01-24 13:01 1 · 回答