Consider the Following List of Risk Factors: (1) Monthly Growth

question 5

Multiple Choice

Consider the following list of risk factors: (1) monthly growth in industrial production
(2) return on high book to market value portfolio minus return on low book to market value portfolio
(3) change in inflation
(4) excess return on stock market portfolio
(5) return on small cap portfolio minus return on big cap portfolio
(6) unanticipated change in bond credit spread
Which of the factors would you use to develop a microeconomic-based risk factor model?

• A) (1), (2), and (3)
• B) (1), (3), and (5)
• C) (2), (4), and (5)
• D) (1), (3), and (6)
• E) (4), (5), and (6)

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Definitions:

Factor XII

A clotting factor also known as Hageman factor, involved in the initiation of the coagulation cascade in blood clotting.

Osmotic Pressure

The pressure required to prevent the flow of a solvent into a solution through a semipermeable membrane, reflecting the concentration of solutes.

Erythrocytes

Red blood cells that carry oxygen from the lungs to the body tissues and carbon dioxide as a waste product, back to the lungs.

Antibodies

Y-shaped proteins produced by the immune system that identify and neutralize foreign objects like bacteria and viruses.