NO.PZ202301280200000202
问题如下：
Which of the following assumptions best supports the validity of Davidson’s work in asset allocation?
选项：
A.
Asset class returns are mean-reverting
B.
Asset prices largely follow a random walk
C.
Asset class returns exhibit trending behavior
解释：
The underlying assumption of Davidson’s work examining value and momentum factors is that value and momentum phenomena are present at the asset class level and can be used in making tactical asset allocation decisions across asset classes. For this to be an effective tactical asset allocation tool, Davidson must believe that asset classes can trend positively or negatively for some time before changing course (i.e., that they exhibit trending behavior) and that the recent past may contain information relevant to tactical shifts in asset allocation.
Valuation metrics (which Davidson does not consider) are useful if asset class returns are mean-reverting. That is, the comparison of current valuations to historical averages may signal the potential for a reversal or for above-average future returns.
B肯定不对，市场非有效。quant不是mean-revarting，感觉下factor timing，not alpha skill，然后选对了，但其实不太懂。烦请老师详解，谢谢
