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
| 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 |