Question
Eugene Fama found that 1-year forward rates on these securities forecast interest changes 2-4 years ahead. For 10 points each:
[10e] Name these fixed-income securities through which individual investors lend money to the government.
ANSWER: government bonds [accept municipal bonds; accept Treasury bonds; accept savings bonds; reject “private bonds” or “corporate bonds”]
[10h] In a later study of this bond metric, Cochrane and Piazzesi generalized Fama’s forecast to bond returns at all maturities. This metric is calculated as the difference between the risk-free rate and the estimated rate of return.
ANSWER: risk premium [accept term premium; prompt on premium; reject “risk”]
[10m] Cochrane and Piazzesi have proposed a model based on this technique with a single return-forecasting factor. This statistical technique estimates the relationship between several explanatory variables and one response variable.
ANSWER: multiple regression [accept linear regression; accept linear multiple regression]
<Social Science>
Summary
| 2024 ACF Fall at Cornell | fall | Y | 3 | 13.33 | 100% | 33% | 0% |
| 2024 ACF Fall at Ohio State | fall | Y | 8 | 15.00 | 100% | 50% | 0% |
| 2024 ACF Fall at Washington | fall | Y | 6 | 18.33 | 100% | 83% | 0% |
| 2024 ACF Fall at Georgia | fall | Y | 11 | 16.36 | 100% | 64% | 0% |
| 2024 ACF Fall at North Carolina | fall | Y | 5 | 10.00 | 80% | 20% | 0% |
| 2024 ACF Fall at Claremont Colleges | fall | Y | 5 | 14.00 | 100% | 40% | 0% |
| 2024 ACF Fall at Rutgers | fall | Y | 6 | 13.33 | 100% | 33% | 0% |
| 2024 ACF Fall at Illinois | fall | Y | 8 | 18.75 | 100% | 88% | 0% |
Data
| Cornell E | Binghamton A | 10 | 0 | 0 | 10 |
| Cornell D | Cornell C | 10 | 0 | 0 | 10 |
| RIT B | Syracuse | 10 | 0 | 10 | 20 |
| Jefferson County Scholars (DII) | Miami B (UG) | 10 | 0 | 10 | 20 |
| CWRU C (UG) | Michigan A (UG) | 10 | 0 | 0 | 10 |
| Michigan B (UG) | Michigan D (UG) | 10 | 0 | 10 | 20 |
| Michigan C | West Virginia A (UG) | 10 | 0 | 0 | 10 |
| Michigan State A | Miami C (DII) | 10 | 0 | 10 | 20 |
| Ohio State A (UG) | West Virginia B (UG) | 10 | 0 | 0 | 10 |
| Ohio State B (DII) | CWRU A (UG) | 10 | 0 | 0 | 10 |
| Miami A (UG) | Ohio State C (DII) | 10 | 0 | 10 | 20 |
| Alberta | UW Envy | 10 | 0 | 10 | 20 |
| Arizona State A | UW Chastity | 10 | 0 | 10 | 20 |
| UW Wrath | Arizona State B | 10 | 0 | 10 | 20 |
| UBC A | UW Gluttony | 10 | 0 | 10 | 20 |
| UBC B | UW Greed | 10 | 0 | 10 | 20 |
| UW Pride | UW Lust | 10 | 0 | 0 | 10 |
| Georgia Tech E | Auburn C | 10 | 0 | 0 | 10 |
| Furman | Clemson A | 10 | 0 | 10 | 20 |
| Emory A | Auburn A | 10 | 0 | 0 | 10 |
| Georgia A | Georgia Tech B | 10 | 0 | 10 | 20 |
| Mississippi State A | Georgia Tech A | 10 | 0 | 10 | 20 |
| Southern | Georgia Tech D | 10 | 0 | 0 | 10 |
| Tennessee A | South Carolina B | 10 | 0 | 10 | 20 |
| Tennessee A | South Carolina B | 10 | 0 | 10 | 20 |
| Tennessee A | South Carolina B | 10 | 0 | 10 | 20 |
| Tennessee A | South Carolina B | 10 | 0 | 10 | 20 |
| Tennessee A | South Carolina B | 10 | 0 | 10 | 20 |
| Tennessee A | South Carolina B | 10 | 0 | 10 | 20 |
| Tennessee A | South Carolina B | 10 | 0 | 10 | 20 |
| Tennessee A | South Carolina B | 10 | 0 | 10 | 20 |
| Tennessee B | South Carolina A | 10 | 0 | 10 | 20 |
| Tennessee B | South Carolina A | 10 | 0 | 10 | 20 |
| Tennessee B | South Carolina A | 10 | 0 | 10 | 20 |
| Tennessee B | South Carolina A | 10 | 0 | 10 | 20 |
| Tennessee B | South Carolina A | 10 | 0 | 10 | 20 |
| Tennessee B | South Carolina A | 10 | 0 | 10 | 20 |
| Tennessee B | South Carolina A | 10 | 0 | 10 | 20 |
| Tennessee B | South Carolina A | 10 | 0 | 10 | 20 |
| Alabama A | Vanderbilt B | 10 | 0 | 0 | 10 |
| Appalachian State A | Liberty B | 10 | 0 | 0 | 10 |
| VCU | Liberty A | 10 | 0 | 0 | 10 |
| Tusculum | Duke A | 0 | 0 | 0 | 0 |
| UNC C | UNC D | 10 | 0 | 10 | 20 |
| Virginia Tech A | William & Mary | 10 | 0 | 0 | 10 |
| UCLA E | Claremont B | 10 | 0 | 10 | 20 |
| Claremont C | UCLA A | 10 | 0 | 10 | 20 |
| Claremont A | UCLA D | 10 | 0 | 0 | 10 |
| UCLA C | UCSD | 10 | 0 | 0 | 10 |
| USC | UCLA B | 10 | 0 | 0 | 10 |
| Columbia B | Columbia J (DII) | 10 | 0 | 10 | 20 |
| Rutgers A (UG) | Fordham A | 10 | 0 | 10 | 20 |
| Penn B (DII) | Maryland A (DII) | 10 | 0 | 0 | 10 |
| NYU A (UG) | Penn A (DII) | 10 | 0 | 0 | 10 |
| Maryland B (DII) | NYU B | 10 | 0 | 0 | 10 |
| Lehigh B (DII) | Rowan A (DII) | 10 | 0 | 0 | 10 |
| Chicago A | Illinois C | 10 | 0 | 10 | 20 |
| Purdue C | Illinois D | 10 | 0 | 10 | 20 |
| WashU A | Iowa A | 10 | 0 | 10 | 20 |
| Notre Dame A | Illinois A | 10 | 0 | 10 | 20 |
| Northwestern B | Notre Dame B | 10 | 0 | 0 | 10 |
| Notre Dame C | Iowa B | 10 | 0 | 10 | 20 |
| Purdue B | Northwestern A | 10 | 0 | 10 | 20 |
| Illinois B | WashU B | 10 | 0 | 10 | 20 |