government bonds - 2024 ACF Fall

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 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


Jefferson County Scholars (DII)	Miami B (UG)	10	10	20
CWRU C (UG)	Michigan A (UG)	10	0	10
Michigan B (UG)	Michigan D (UG)	10	10	20
Michigan C	West Virginia A (UG)	10	0	10
Tennessee B	South Carolina A	10	10	20
Tennessee B	South Carolina A	10	10	20
Tennessee B	South Carolina A	10	10	20
Tennessee B	South Carolina A	10	10	20
Tennessee B	South Carolina A	10	10	20
Tennessee B	South Carolina A	10	10	20
Tennessee B	South Carolina A	10	10	20
Tennessee B	South Carolina A	10	10	20
Columbia B	Columbia J (DII)	10	10	20
Rutgers A (UG)	Fordham A	10	10	20
Penn B (DII)	Maryland A (DII)	10	0	10
NYU A (UG)	Penn A (DII)	10	0	10
Maryland B (DII)	NYU B	10	0	10
Cornell E	Binghamton A	10	0	10
Cornell D	Cornell C	10	0	10
RIT B	Syracuse	10	10	20
Georgia Tech E	Auburn C	10	0	10
Furman	Clemson A	10	10	20
Emory A	Auburn A	10	0	10
Georgia A	Georgia Tech B	10	10	20
Mississippi State A	Georgia Tech A	10	10	20
Southern	Georgia Tech D	10	0	10
Tennessee A	South Carolina B	10	10	20
Tennessee A	South Carolina B	10	10	20
Tennessee A	South Carolina B	10	10	20
Tennessee A	South Carolina B	10	10	20
Tennessee A	South Carolina B	10	10	20
Tennessee A	South Carolina B	10	10	20
Tennessee A	South Carolina B	10	10	20
Tennessee A	South Carolina B	10	10	20
UNC C	UNC D	10	10	20
Virginia Tech A	William & Mary	10	0	10
UCLA E	Claremont B	10	10	20
Claremont C	UCLA A	10	10	20
Claremont A	UCLA D	10	0	10
UCLA C	UCSD	10	0	10
USC	UCLA B	10	0	10
Michigan State A	Miami C (DII)	10	10	20
Ohio State A (UG)	West Virginia B (UG)	10	0	10
Ohio State B (DII)	CWRU A (UG)	10	0	10
Miami A (UG)	Ohio State C (DII)	10	10	20
Alberta	UW Envy	10	10	20
Arizona State A	UW Chastity	10	10	20
UW Wrath	Arizona State B	10	10	20
UBC A	UW Gluttony	10	10	20
UBC B	UW Greed	10	10	20
UW Pride	UW Lust	10	0	10
Alabama A	Vanderbilt B	10	0	10
Appalachian State A	Liberty B	10	0	10
VCU	Liberty A	10	0	10
Tusculum	Duke A	0	0	0
Lehigh B (DII)	Rowan A (DII)	10	0	10
Chicago A	Illinois C	10	10	20
Purdue C	Illinois D	10	10	20
WashU A	Iowa A	10	10	20
Notre Dame A	Illinois A	10	10	20
Northwestern B	Notre Dame B	10	0	10
Notre Dame C	Iowa B	10	10	20
Purdue B	Northwestern A	10	10	20
Illinois B	WashU B	10	10	20