问题如下:
3. The two-factor model Zapata uses is a:
选项:
A.statistical factor model.
B.fundamental factor model.
C.macroeconomic factor model.
解释:
C is correct.
In a macroeconomic factor model, the factors are surprises in macroeconomic variables, such as inflation risk and GDP growth, that significantly explain returns.
考点:Multifactor model的区分
解析: 研究的变量是inflation 和 GDP growth,属于宏观经济因子,所以是macroeconomic factor model
老师表格里面写的是EXPECTED RETURN,不是RETURN....或者ACTUAL RETURN....为什么还是回归模型?