NO.PZ202208220100000204
问题如下：
Calculate the predicted RET for Model 3 given the assumed factor values: MRKT= 3, HML = –2, VIX = –5, SMB = 1, MOM = 3.
选项：
A.3.732 B.3.992 C.4.555解释：
A is correct. The regression equation for Model 3 is
RET = –0.823 + 1.719MRKT + 0.412HML + 0.026VIX + 0.553SMB– 0.067MOM.
Using the assumed values for the independent variables, we have
RET = –0.823 + (1.719)(3) + (0.412)(–2) + (0.026)(–5) + (0.553)(1) – (0.067)(3)= 3.732.
为啥第四题这里没有残差项需要代入
