finger · 2020年01月16日

问一道题：NO.PZ2015120204000023

问题如下：

${l}Excess\text{ }stock\text{ }market\text{ }return_t\\=a_0+a_1Default\text{ }spread_{t-1}\text{ }+a_2Term\text{ }spread_{t-1}\text{ }+a_3Pres\text{ }party\text{ }dummy_{t-1}\text{ }+e$

Default spread is equal to the yield on Baa bonds minus the yield on Aaa bonds. Term spread is equal to the yield on a 10-year constant-maturity US Treasury index minus the yield on a 1-year constant-maturity US Treasury index. Pres party dummy is equal to 1 if the US President is a member of the Democratic Party and 0 if a member of the Republican Party.

The regression is estimated with 431 observations.

Exhibit 1.Multiple Regression Output

With respect to the default spread, the estimated model indicates that when business conditions are:

选项：

strong, expected excess returns will be higher.

weak, expected excess returns will be lower.

weak, expected excess returns will be higher.

解释：

C is correct.

The default spread is typically larger when business conditions are poor, i.e., a greater probability of default by the borrower. The positive sign for default spread (see Exhibit 1) indicates that expected returns are positively related to default spreads, meaning that excess returns are greater when business conditions are poor.

这一题没有看懂为什么是HIGHER

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