题目
Peter Parker, FRM, is identifying risk factors for the construction of his multifactor APT model. His colleague Barbara gives him the following four pieces of advice. Each of the following is a good or reasonable statement about a multifactor APT model EXCEPT which is not?
选项
A.He should restrict himself to a limited number of systematic factors with considerable ability to explain security returns.
B.He should choose factors that are likely to be important as major sources of uncertainty; i.e., factors that concern investors sufficiently that they will demand meaningful risk premiums to bear exposure to those sources of risk.
C.He should exclude factors that produce negative factor risk premiums as they lack narrative credibility.
D.The model may retain a firm-specific (non-systemic) component, like the single-index model, which has an expected value of zero.
答案
C
解析
One difference between a single- and multiple-factor economy is that a factor risk premium can be negative. For example, a security with a positive interest rate beta performs better when rates increase, and thus would hedge the value of a portfolio against interest rate risk. Investors might well accept a lower rate of return, that is, a negative risk premium, as the cost of this hedging attribute.单因素和多因素经济之间的区别是，因素风险溢价可能为负。 例如，利率上升时，具有正β利率的证券表现更好，因此可以对冲利率风险的投资组合价值。 投资者很可能接受较低的收益率，即负风险溢价，作为这种对冲属性的成本。