问题如下：
Stock return of PZ Company is 7% in 2017. Analyst wants to calculate PZ company stock’s expected return, the portion of the stock’s return not explained by the factor model was 5%, Please using macroeconomic factor model based on the following table data:
选项： -1.5%
1.5%
C.2%
解释：
A is correct.
考点：多因素模型下的宏观多因子回归模型.
解析：先写出模型的公式：Ri=ai+bi1*F1+bi2*F2+εi
然后再回忆一下宏观经济模型的特性，Ri是真实的回报率，ai是expected return，b是回归出来的factor sensitivity, F是真实的数据即surprise=actual – predicted,残差项是模型里不能解释应变量的部分。
把表格中的数据代入公式：7%=ai+(6%-7%)*1.5+(3%-5%)*(-2.5)+5%
可以计算得出expected return= -1.5%
考试中多因素模型考试会比这更灵活吗？还是出题风格和这个差不多
