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小火炉 · 2020年10月15日

问一道题:NO.PZ2015121810000002 [ CFA II ]

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

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%.

请问gdp surprise -3怎么得到的
1 个答案

星星_品职助教 · 2020年10月15日

同学你好,

surprise=Actual-expected=1%-4%=-3%

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