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dzlab · 2020年06月24日

问一道题:NO.PZ2018091701000050 [ CFA II ]

问题如下:

At the PZ Company’s morning meeting between analysts and the sales staff, Fund manager Matthew gave a short presentation on the investment report. He is concerned that analyst of PZ Company overstates its strategy breadth, Matthew makes two conclusions:

Conclusion one: All the stocks in a given industry that are responding to similar influences cannot be counted as completely independent decisions, so breadth is lower than the number of assets.

Conclusion two: If there is price momentum effect in stock market,  analysts who claim to evaluate securities each month will overstate their estimates.

Which of the following statement is most likely correct?

选项:

A.

Conclusion one is correct.

B.

Conclusion two is correct.

C.

Both conclusions are correct.

解释:

C is correct

考点:practical limitations of the fundamental law

解析:

Conclusion one: 同一行业的股票,如果受相同因素影响,那么分析师采取的分析方法是相同的,股票与股票之间的预测不独立,因此预测次数少于股票个数的。

?Conclusion two: 由于股票市场是有惯性的,也就是涨的股票会持续上涨,跌的股票会持续下跌,那么一旦分析师观察到股票上涨,他很有可能预测下个月同样上涨。因此独立的实际预测次数是小于一年12次的也就是会高估自己的预测次数

如果是有惯性的,分析师不是应该会低估吗?(因为没考虑惯性)
1 个答案

丹丹_品职答疑助手 · 2020年06月27日

嗨,努力学习的PZer你好:


同学你好,这道题的意思是,分析师在惯性的市场中,去做的分析相对来说比在波动的市场中会高估自己的预测次数的。同学可以理解为,市场惯性中,分析师会默认市场变动方向不变,相比于波动的市场,资产之前的预测不独立,所以会高估。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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