请教FRM一级APT一道题

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     Using an APT model, what is the expected return for a stock given the following factor exposures and returns? Assume the risk-free rate is 3%.

Factor exposures:
Standardiezed probability of default: 0.5
Standardiezed average daily trading volume: -0.2
Standardiezed average earnings growth forecast: 1.5

Factor returns:
Standardiezed probability of default: 2%
Standardiezed average daily trading volume: -1%
Standardiezed average earnings growth forecast: 1.5%


A. 4.8%
B. 6.1%
C. 6.5%
D. 7.5%

答案是C
为什么呢

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关键词：frm一级 APT FRM Probability exposures 一级

3%+0.5*2%+（-0.2*-1%）+1.5*1.5%=6.45%

E(R)= the risk-free rate +Factor exposure1*Factor return1+Factor exposure2*Factor return2+Factor exposure3*Factor return3=3%+0.5*2%+（-0.2)*(-1%）+1.5*1.5%=6.45%。公式见附件！

疆南破 发表于 2013-5-12 19:04
3%+0.5*2%+（-0.2*-1%）+1.5*1.5%=6.45%

谢谢！！

lei520724 发表于 2013-5-13 10:36
E(R)= the risk-free rate +Factor exposure1*Factor return1+Factor exposure2*Factor return2+Factor exp ...

非常感谢啊啊！！

这部分13年已经删掉了

zhouyecueb 发表于 2013-5-15 16:33
这部分13年已经删掉了

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