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Basic Question 2 of 11
In the macroeconomic factor models, ______.
II. a one percentage point surprise in factor 1 will contribute bi1 percentage points to the return to stock i
III. the error term εi represents unsystematic risk related to firm-specific events
IV. the mean of the error term εi is zero
V. different assets have different factor sensitivities
I. the "b's" are very similar to betas in the market model
II. a one percentage point surprise in factor 1 will contribute bi1 percentage points to the return to stock i
III. the error term εi represents unsystematic risk related to firm-specific events
IV. the mean of the error term εi is zero
V. different assets have different factor sensitivities
User Contributed Comments 1
| User | Comment |
|---|---|
| alyl21 | 1) market model deals with sysmtematic risk. Macro risk factors are also systemmatic, so similar 2) easy 3) easy 4) error term should be 0 given large sample size 5) easy |
I am using your study notes and I know of at least 5 other friends of mine who used it and passed the exam last Dec. Keep up your great work!
Barnes
Learning Outcome Statements
describe and compare macroeconomic factor models, fundamental factor models, and statistical factor models;
CFA® 2024 Level II Curriculum, Volume 5, Module 41.