题目
An analyst is estimating the sensitivity of the return of stock A to different macroeconomic factors. He prepares the following estimates for the factor betas:「huixue_img/importSubject/1564170575377731584.png」Under baseline expectations, with industrial production growth of 3% and an interest rate of 1.5%, the expected return for Stock A is estimated to be 5%. The economic research department is forecasting an acceleration of economic activity for the following year, with GDP forecast to grow 4.2% and interest rates increasing 25 basis points to 1.75%. What return of Stock A can be expected for next year according to this forecast?
选项
A.4.8%
B.6.4%
C.6.8%
D.7.8%
答案
B
解析
「huixue_img/importSubject/1564170575449034752.png」股票A的预期收益等于基准情景下股票的预期收益，加上两个因素的“冲击”或超额收益的影响。 由于基准情景包含了3％的工业生产增长率和1.5％的利率，因此“冲击”是GDP因子的1.2％，和利率因子的0.25％。 因此，新方案的预期收益=5% ＋(1.3×1.2%) ＋(－0.75×0.25%)=6.37%