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snow666_6 · 2020年06月05日

问一道题：NO.PZ2015120204000023 [ CFA II ]

  1. CFA II
  2. Quantitative

问题如下：

lExcess stock market returnt=a0+a1Default spreadt−1 +a2Term spreadt−1 +a3Pres party dummyt−1 +e{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：

A.

strong, expected excess returns will be higher.

B.

weak, expected excess returns will be lower.

C.

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.

请问这个考核的是哪个知识点？
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2 个答案

星星_品职助教 · 2021年02月06日

@GS 这是一个二级组合知识点，在R46 利率和经济的关系那一章里：Credit Premiums and The Business Cycle 那个小节。

星星_品职助教 · 2020年06月05日

同学你好，

这道题考察回归方程系数的理解，由于自变量default spread系数为正，所以default spread越大，Y变量（excess return）越大（higher），这是这道题的主要考点。

这道题隐含着一个二级组合知识点，即经济越弱，default spread越大。但这个并不是数量的考点，真实考试也基本不会这么出题。

 

GS · 2021年02月06日

“经济越弱，default spread越大” 请问这个是一级哪里的考点，忘记了

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相关问题

NO.PZ2015120204000023 问题如下 Excess stock market returnt=a0+a1fault sprea−1+a2Term sprea−1+a3Pres party mmyt−1+etExcess\ stock\ market\ return_t=a_0+a_1fault\ sprea{t-1}+a_2Term\ sprea{t-1}+a_3Pres\ party\ mmy_{t-1}+e_tExcess stock market returnt​=a0​+a1​fault sprea−1​+a2​Term sprea−1​+a3​Pres party mmyt−1​+et​fault spreis equto the yielon Bbon minus the yielon Abon. Term spreis equto the yielon a 10-yeconstant-maturity US Treasury inx minus the yielon a 1-yeconstant-maturity US Treasury inx. Pres party mmy is equto 1 if the US Presint is a member of the mocratic Party an0 if a member of the RepublicParty.The regression is estimatewith 431 observations.Exhibit 1.Multiple Regression OutputWith respeto the fault sprea the estimatemol incates thwhen business contions are: A.strong, expecteexcess returns will higher. B.weak, expecteexcess returns will lower. C.weak, expecteexcess returns will higher. C is correct.The fault spreis typically larger when business contions are poor, i.e., a greater probability of fault the borrower. The positive sign for fault spre(see Exhibit 1) incates thexpectereturns are positively relateto fault sprea, meaning thexcess returns are greater when business contions are poor. 这个系数正3.4和经济情况weak还是strong是不是没什么关系？weak或者strong有什么说法吗

2024-09-07 19:07 1 · 回答

NO.PZ2015120204000023 老师 从直观的经济层面去理解 是没问题的 但是从题意去看 a1是正的 说明自变量和因变量是正相关 不应该选C啊？

2021-05-04 11:53 1 · 回答

NO.PZ2015120204000023 老师好，在这个题目里面还提到了t-statistic和p-value，这是代表什么意思呢？对这个题目的分析判断有影响吗？谢谢

2021-02-24 18:49 2 · 回答

NO.PZ2015120204000023 The positive sign for fault spre(see Exhibit 1) incates thexpectereturns are positively relateto fault sprea, meaning thexcess returns are greater when business contions are poor. 老师好，关于解析中的这句话，前半句我理解的，因为coefficient是正数，所以正相关。但是为何正相关就可以推导出“excess returns are greater when business contions are poor.”呢？是从这个公式里面看出来的吗？谢谢

2021-02-24 18:44 1 · 回答

请问，经济条件不好的时候fault sprea大大是不是和下面的表述矛盾了fault spreis equto the yielon Bbon minus the yielon Abon. 经济不好的时候Abon的yiel是更大么？那yielon Bbon-yielon Abon不是变小了么？ 

2020-11-07 14:24 1 · 回答