NO.PZ201710100100000204
问题如下:
4. Which of Lam’s statements regarding macroeconomic factor models and fundamental factor models is correct?
选项:
A. Only Statement 1
B. Only Statement 2
C. Both Statements 1 and 2
解释:
C is correct.
In a macroeconomic factor model, the factors are surprises in macroeconomic variables that significantly explain returns. Factor sensitivities are generally specified first in fundamental factor models, whereas factor sensitivities are estimated last in macroeconomic factor models.
考点:Multifactor model之间的对比
解析:
Statement 1: 基本面因子模型的因子是基于股票或公司的性质(例如P/E、市值、财务杠杆),而宏观经济因子模型的因子是基于经济变量的surprise(例如利率、通货膨胀率),完全正确。
Statement 2:基本面因素模型是基于标准化的风险因子敏感程度bi的横截面数据回归得到风险因子补偿F的大小,先有b再确定F;宏观经济因素模型是通过对风险因子F的时间序列数据做回归得到各风险因子的敏感程度bi,先有F再确定b,所以这句话也完全正确。
没有看到这个知识点在哪里体现了