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和棋 · 2020年07月06日

问一道题:NO.PZ2020021002000118

问题如下:

Chen, Roll, and Ross (1986) tested the APT model and found several explanatory variables for the average rate of return on stocks traded on the NYSE. Which of the following is not an explanatory variable in their empirical test?

选项:

A.

Expected and unexpected inflation

B.

The yield spread between high and low risk corporate bonds

C.

The yield spread between long and shor maturity
bonds

D.

The change in money supply in the economy

解释:

D. The change in money supply in the economy

The explanatory variables were

• The spread between long-term and short-term interest rates (reflecting shifts in time preferences);

• Expected and unexpected inflation;

• Industrial production (reflecting changes in cash flow expectations); and

• The spread between high-risk and low-risk corporate bond yields (reflecting changes in risk preferences).

为什么通胀是一个解释变量?

1 个答案

袁园_品职助教 · 2020年07月06日

同学你好!

你可以理解为通胀会影响商品价格,商品价格会影响上市公司的revenue等财务指标

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