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Sean711822 · 2020年01月13日

问一道题：NO.PZ2015120204000021

  1. CFA II
  2. Quantitative

问题如下：

Excess stock market returnt=a0+a1Default spreadt−1 +a2Term spreadt−1 +a3Pres party dummyt−1 +e{}Excess\text{ }stock\text{ }market\text{ }return_t\\=a_0+a_1Default\text{ }spread_{t-1}\text{ }+a_2Term\text{ }spread_{t-1}\text{ }+a_3Pres\text{ }party\text{ }dummy_{t-1}\text{ }+e

Default spread is equal to the yield on Baa bonds minus the yield on Aaa bonds. Term spread is equal to the yield on a 10-year constant-maturity US Treasury index minus the yield on a 1-year constant-maturity US Treasury index. Pres party dummy is equal to 1 if the US President is a member of the Democratic Party and 0 if a member of the Republican Party.

Exhibit 1.Multiple Regression Output

The Pres party dummy variable in the model indicates that the mean monthly value for the excess stock market return is:

选项：

A.

1.43 percent larger during Democratic presidencies than Republican presidencies.

B.

3.17 percent larger during Democratic presidencies than Republican presidencies.

C.

3.17 percent larger during Republican presidencies than Democratic presidencies.

解释：

B is correct.

The coefficient for the Pres party dummy variable (3.17) represents the increment in the mean value of the dependent variable related to the Democratic Party holding the presidency. In this case, the excess stock market return is 3.17 percent greater in Democratic presidencies than in Republican presidencies.

老师好，这题凭着片面的条件无法求解，a3的数值是多少都没显示出来

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1 个答案

星星_品职助教 · 2020年01月13日

收到，已修复

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NO.PZ2015120204000021问题如下Excess stomarket returnt=a0+a1fault sprea-1+a2Term sprea-1+a3Pres party mmyt-1+etfault spreis equto the yielon Bbon minus the yielon Abon. Term spreis equto the yielon a 10-yeconstant-maturity US Treasury inx minus the yielon a 1-yeconstant-maturity US Treasury inx. Pres party mmy is equto 1 if the US Presint is a member of the mocratic Party an0 if a member of the RepublicParty.Exhibit 1.Multiple Regression OutputThe Pres party mmy variable in the mol incates ththe memonthly value for the excess stomarket return is:A.1.43 percent larger ring mocratic presincies thRepublicpresincies.B.3.17 percent larger ring mocratic presincies thRepublicpresincies.C.3.17 percent larger ring Republicpresincies thmocratic presincies.B is correct.The coefficient for the Pres party mmy variable (3.17) represents the increment in the mevalue of the pennt variable relateto the mocratic Party holng the presincy. In this case, the excess stomarket return is 3.17 percent greater in mocratic presincies thin Republicpresincies. 或者包括j截距项的其他，

2022-06-12 06:52 1 · 回答

NO.PZ2015120204000021 3.17 percent larger ring mocratic presincies thRepublicpresincies. 3.17 percent larger ring Republicpresincies thmocratic presincies. B is correct. The coefficient for the Pres party mmy variable (3.17) represents the increment in the mevalue of the pennt variable relateto the mocratic Party holng the presincy. In this case, the excess stomarket return is 3.17 percent greater in mocratic presincies thin Republicpresincies. 当x1=1， 不是代表fference吗

2021-12-09 12:31 1 · 回答

NO.PZ2015120204000021 请问a是充数的吗？ 就算算出来mkt的超额收益也应该是-1.43对吧？

2021-07-29 23:32 1 · 回答

问题对应条件有缺失，请更正谢谢。

2020-01-13 17:32 1 · 回答