本次澳洲代考主要商业统计建模限时测试
问题 1
这些问题需要简短的回答，最多 0.5 页，但不需要论文。做你的
尽可能客观和简洁地回答，同时仍然完整地回答问题。
(a) 资本资产定价模型（CAPM）通常写成：
Rt Rf;t = + (RM;t Rf;t) + t;
其中 Rt 是资产收益，Rf;t 是无风险收益率，RM;t 是市场
返回，全部在时间 t。
解释为什么说斜率可以捕获“市场风险”。
回答：
衡量市场回报变化时资产回报的典型变化
按 1 个单位（例如 1%）。因此衡量资产回报序列对
市场走势（即市场回报，衡量市场指数
已出动）。特别是，如果 > 1 那么资产回报通常会改变
超过市场走势，因此如果市场下跌 10%，那么资产
通常会崩盘 10% 以上：这表明市场风险很高。上
另一方面，如果 < 1，则资产回报的变化通常小于
市场走势，因此如果市场下跌 10%，那么资产通常会
崩盘低于 10%：这表明市场风险水平相对较低。因此，
据说可以捕捉市场风险。
(b) CAPM 回归是 t，其中响应变量是澳大利亚所有或
dinaries index (AORD) 回报，而回应是必和必拓股票的每日回报。
考虑变量：
(i) 另一家矿业公司的每日回报：力拓；
(ii) 一年四季：代表一年四季的三个虚拟变量：
夏、春、秋。
在此讨论这两个变量中的每一个是否会导致遗漏变量偏差，以及
然后解释为什么或为什么不（每个）。
答案 (i)：CAPM 已经表明 ASX 上的所有股票都是相关的
随着 AORD 市场的回报，包括 Rio-Tinto（我们也可以用
通过样本相关性观察到的数据）；因此 OVB 的第二个条件可能是
满意 ed。因此，我们只需要回答 OVB 的第一个条件：即 Rio-
Tinto 是 BHP 股票回报的决定因素。如果力拓和必和必拓的回报正在
在该数据集中的同一天考虑，那么 Rio 不能成为决定因素或
BHP 的因果因素，因为它不会在 BHP 回报已知之前发生，但是
而是与它同时发生。从 X 到 Y 的因果关系要求 X 发生
在 Y 之前。这里 Rio-Tinto 不会在 BHP 之前发生，所以 OVB 的第一个条件是
不满意。因此，Rio-Tinto 作为一个被忽略的变量，不会导致任何 OVB
这里的 CAPM 回归。
Question 1
These questions require short answers, say up to 0.5 page, but not essays. Make your
answers as objective and concise as possible, while still fully answering the question.
(a) The Capital Asset Pricing Model (CAPM) is usually written as:
Rt Rf;t = + (RM;t Rf;t) + t;
where Rt is the asset return, Rf;t is the risk free rate of return, and RM;t is the market
return, all at time t.
Explain why the slope is said to capture \market risk”.
Answer:
measures the typical change in the asset return when the market return changes
by 1 unit (e.g. 1%). Thus measures how sensitive the asset return series is to
market movements (i.e. market returns, which measure how much the market index
has moved). In particular, if > 1 then the asset return would change typically by
more than the market movements, so that if the market crashed by 10% then the asset
would typically crash by more than 10%: this indicates a high level of market risk. On
the other hand, if < 1 then the asset return would change typically by less than the
market movement, so that if the market crashed by 10% then the asset would typically
crash by less than 10%: this indicates a comparatively lower level of market risk. Thus,
is said to capture market risk.
(b) A CAPM regression is t where the response variable is the Australian All Or-
dinaries index (AORD) returns, and the response is the daily return on BHP stock.
Consider the variables:
(i) the daily return on another mining company: Rio-Tinto;
(ii) Season of year: three dummy variables representing the seasons of the year:
Summer, Spring, Autumn.
Discuss whether each of these two variables could cause omitted variable bias here, and
then explain why or why not (for each).
Answer (i): The CAPM already suggests that all stocks on the ASX are correlated
with the AORD market return, including Rio-Tinto (we could also test this with the
observed data via the sample correlation); thus the 2nd condition for OVB is likely
satis ed. We thus need only to answer the 1st condition for OVB: i.e. whether Rio-
Tinto is a determinant of BHP stock returns. If Rio and BHP returns are being
considered on the same day in this data set, then Rio cannot be a determinant or
causal factor for BHP, since it does not occur before the BHP return is known, but
instead occurs simultaneously with it. Causality from X to Y requires that X occurs
before Y. Here Rio-Tinto does not occur before BHP so the 1st condition for OVB is
not satis ed. Thus, Rio-Tinto, as an omitted variable, is not causing any OVB in the
CAPM regression here.