问一道题：NO.PZ2019042401000046

问题如下：

Which of the following statement is correct about market timing with only two values Beta?

选项：

“D” is a dummy variable, whose value equals 1 when 𝒓_𝒎>𝒓_𝒇,otherwise 0.

“D” is a dummy variable, whose value equals 1 when 𝒓_𝒎＜𝒓_𝒇,otherwise 0.

“D” is a dummy variable, whose value equals 0 when 𝒓_𝒎>𝒓_𝒇,otherwise 1.

“D” is a dummy variable, whose value equals 0 when 𝒓_𝒎＜𝒓_𝒇,otherwise 1.

解释：

考点：Market Timing With Only Two Values Beta

解析：market timing with only two values Beta的公式表达为，

r_p-r_f=a+b(r_m-r_f)+c(r_m-r_f)D+e_p

在此公式中，“D”是一个虚拟变量,当𝒓_𝒎>𝒓_𝒇,时D=1，否则D=0。所以本题中只有A选项正确。