standardized beta是什么意思？

问题如下：

Wilson tells the investment committee, “I have also considered using macroeconomic factor models, which differ from fundamental factor models in several ways. For example, in contrast to fundamental factor models, the expected effect of each factor on an asset’s return is zero in macroeconomic factor models because the factors in macroeconomic factor models are the surprises in the economic data relative to expectations. Also, standardized betas are used in macroeconomic factor models. A standardized beta is created when an asset’s sensitivity to a factor is adjusted for the average sensitivity of all assets to the factor and the standard deviation of those sensitivities.”

In her comparison of two types of factor models, is Wilson most likely correct regarding macroeconomic factor models?

选项：

A.

No, she is incorrect regarding standardized betas.

B.

Yes

C.

No, she is incorrect regarding the expected effect of each factor.

解释：

Standardized betas are used in fundamental factor models, not macroeconomic factor models.