NO.PZ202206260100000301
问题如下：
Is Chang most likely correct in his construction and conclusion of the linear factor model?选项：
A.Yes, he is correct. B.No, he is incorrect with regard to attributing unexplained returns. C.No, he is incorrect with regard to dropping volatility as a risk factor.解释：
SolutionB is correct. Chang concludes unexplained returns are attributable to alpha or random error and neglects to recognize that omitted risk factors also contribute to unexplained returns. For example, other risk factors, such as currency, are not included in this model, which could help explain returns and further increase R2.
A is incorrect. Chang was wrong in his conclusion regarding unexplained returns.
C is incorrect. Chang was correct to drop the volatility risk factor because of the multicollinearity problem, and including credit risk results in a higher R2 for the model.
这句话如何理解？
