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yirusky · 2020年03月09日

问一道题:NO.PZ2015121810000002

问题如下:

Last year the return on Harry Company stock was 5 percent. The portion of the return on the stock not explained by a two-factor macroeconomic factor model was 3 percent. Using the data given below, calculate Harry Company stock’s expected return.

Macroeconomic Factor Model for Harry Company Stock

选项:

解释:

In a macroeconomic factor model, the surprise in a factor equals actual value minus expected value. For the interest rate factor, the surprise was 2 percent; for the GDP factor, the surprise was 3 percent. The intercept represents expected return in this type of model. The portion of the stock’s return not explained by the factor model is the model’s error term.

5% = Expected return  1.5(Interest rate surprise) + 2(GDP surprise) + Error term

= Expected return  1.5(2%) + 2(3%) + 3%

= Expected return  6%

Rearranging terms, the expected return for Harry Company stock equals 5% + 6% = 11%.

The portion of the return on the stock not explained by a two-factor macroeconomic factor model was 3 percent.请问这句话为什么是error term哈?不是特别理解

1 个答案

丹丹_品职答疑助手 · 2020年03月09日

同学你好,error term 可以叫做残差项,可以被理解为一个垃圾桶。通常我们做模型假设的时候,会把我们认为一些不能用模型中自变量解释的部分作为残差项。在宏观经济模型中我们认为资产收益指的是预期收益经过GDP surprise与其敏感程度乘积 和interest rate surprise与其敏感程度乘积 调整的预期收益,error term是一个残差项,其与GDP surprise、interest rate surprise变动无关的调平项。