为什么A不对呢？

问题如下：

A risk analyst at a bank is explaining to an intern the use of the Arbitrage Pricing Theory (APT) in estimating the expected return of a security. The risk analyst uses the following APT formula in the discussion:

Which of the following is a correct interpretation of β_iK ?

选项：

A.

It is a coefficient measuring the effect of changes in the rate of return of security k on the expected value of factor I.

B.

It measures the difference between the observed and expected values of factor k.

C.

It measures the idiosyncratic random shock to the price of security i which has a mean of zero

D.

It measures how the changes in the surprise factor k will affect the rate of return of security i.

解释：

Explanation

D is correct. βik is a coefficient measuring the effect of changes in Ik (the observed value of factor k) on the rate of return of security i.

A is incorrect. It is a is a coefficient measuring the changes in factor Ik on the rate of return of security i.

B is in correct. [IK - E(IK)] is the difference between the observed and expected values in factor k.

C is in correct. This is the noise factor ei.

Section Foundations of Risk Management

Learning Objective Describe the inputs (including factor betas) to a multifactor model and explain the challenges of using multifactor models in hedging.

Reference Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2022. Chapter 6. The Arbitrage Pricing Theory and Multifactor Models of Risk and Return.