【FRM每日一题】一级：风险管理&定量
备考FRM一级 | 2015-11-11
Suppose an analyst examines expected returns for the American Broadcasting Corporation (ABC) based on a 2-factor model. Initially, the expected return for ABC equals 10%. The analyst identifies GDP and 10-year interest rates as the two factors for the factor model. Assume the following data is used:GDP growth consensus forecast = 7%
Interest rate consensus forecast = 3%
GDP factor beta for ABC = 1.50
Interest rate factor beta for ABC = -1.00
Suppose GDP ends up growing 6% and the 10-year interest rate ends up equaling 5%. Also assume that during the period, the American Broadcasting Corporation unexpectedly experiences shortages of key inputs, causing its revenues to be less than originally expected. Consequently, the firm-specific return is -1% during the period. Using the 2-factor model with the revised data, which of the following expected returns for ABC is correct?
A.1.5%.
B.3.5%.
C.5.5%.
D.6.5%.
Answer: C
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