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]
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Summary

2024 ACF Fall at CornellfallY313.33100%33%0%
2024 ACF Fall at Ohio StatefallY815.00100%50%0%
2024 ACF Fall at WashingtonfallY618.33100%83%0%
2024 ACF Fall at GeorgiafallY1116.36100%64%0%
2024 ACF Fall at North CarolinafallY510.0080%20%0%
2024 ACF Fall at Claremont CollegesfallY514.00100%40%0%
2024 ACF Fall at RutgersfallY613.33100%33%0%
2024 ACF Fall at IllinoisfallY818.75100%88%0%

Data

Cornell EBinghamton A100010
Cornell DCornell C100010
RIT BSyracuse1001020
Jefferson County Scholars (DII)Miami B (UG) 1001020
CWRU C (UG)Michigan A (UG) 100010
Michigan B (UG)Michigan D (UG)1001020
Michigan C West Virginia A (UG) 100010
Michigan State A Miami C (DII) 1001020
Ohio State A (UG) West Virginia B (UG) 100010
Ohio State B (DII) CWRU A (UG) 100010
Miami A (UG) Ohio State C (DII) 1001020
AlbertaUW Envy1001020
Arizona State AUW Chastity1001020
UW WrathArizona State B1001020
UBC AUW Gluttony1001020
UBC BUW Greed1001020
UW PrideUW Lust100010
Georgia Tech EAuburn C100010
FurmanClemson A1001020
Emory AAuburn A100010
Georgia AGeorgia Tech B1001020
Mississippi State AGeorgia Tech A1001020
SouthernGeorgia Tech D100010
Tennessee ASouth Carolina B1001020
Tennessee ASouth Carolina B1001020
Tennessee ASouth Carolina B1001020
Tennessee ASouth Carolina B1001020
Tennessee ASouth Carolina B1001020
Tennessee ASouth Carolina B1001020
Tennessee ASouth Carolina B1001020
Tennessee ASouth Carolina B1001020
Tennessee BSouth Carolina A1001020
Tennessee BSouth Carolina A1001020
Tennessee BSouth Carolina A1001020
Tennessee BSouth Carolina A1001020
Tennessee BSouth Carolina A1001020
Tennessee BSouth Carolina A1001020
Tennessee BSouth Carolina A1001020
Tennessee BSouth Carolina A1001020
Alabama AVanderbilt B100010
Appalachian State ALiberty B100010
VCULiberty A100010
TusculumDuke A0000
UNC CUNC D1001020
Virginia Tech AWilliam & Mary100010
UCLA EClaremont B1001020
Claremont CUCLA A1001020
Claremont AUCLA D100010
UCLA CUCSD100010
USCUCLA B100010
Columbia BColumbia J (DII)1001020
Rutgers A (UG)Fordham A1001020
Penn B (DII)Maryland A (DII)100010
NYU A (UG)Penn A (DII)100010
Maryland B (DII)NYU B100010
Lehigh B (DII)Rowan A (DII)100010
Chicago AIllinois C1001020
Purdue CIllinois D1001020
WashU AIowa A1001020
Notre Dame AIllinois A1001020
Northwestern BNotre Dame B100010
Notre Dame CIowa B1001020
Purdue BNorthwestern A1001020
Illinois BWashU B1001020