开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

PaisleyPPx · 2021年05月04日

老师

NO.PZ2015120204000023

问题如下:

Excess stock market returnt=a0+a1Default spreadt1+a2Term spreadt1+a3Pres party dummyt1+etExcess\ stock\ market\ return_t=a_0+a_1Default\ spread_{t-1}+a_2Term\ spread_{t-1}+a_3Pres\ party\ dummy_{t-1}+e_t

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.

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?

1 个答案

星星_品职助教 · 2021年05月04日

同学你好,

根据题干,回归方程中的自变量“Default spread”定义为了Baa债券收益率和Aaa债券收益率之差。

经济好的时候,这两者收益率之差会缩小。可以理解为经济好,大家认为所有债券都不会违约,所以买收益率高的Baa的债券很多,Baa债券的价格上升,进而导致Baa的yield下降,和Aaa收益率的差距缩小。

而经济差的时候这两者收益率的差距会变大,可以理解为经济差,市场整体违约率上升,投资者倾向于购买安全性高的产品,所以Aaa价格上升,yield变得更低,和Baa的差距越来越大。

以上是分析过程,二级组合里还会直接讲这个结论。

所以当经济差的时候,自变量“Default spread”会上升,而对应系数又为正,导致Y变量“Excess return”也会随之上升。C选项描述正确。

  • 1

    回答
  • 4

    关注
  • 876

    浏览
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