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2023-08-05 14:04老師，百題andrew twain第四題，數(shù)據(jù)頻率高產(chǎn)生相關(guān)性低的估計。以下題為啥是相反One bias results from the use of appraisal data in the absence of market transaction data. Appraisal values tend to be less volatile than market determined values for identical assets. As a result, measured volatilities are biased downward and correlations with other assets tend to be exaggerated.”With respect to his explanation of appraisal data bias, O’Reilly is most likely: correct. incorrect, because the measured volatilities biased upward. incorrect, because correlations with other assets tend to be understated.
所屬：CFA Level III > Capital Market Expectations 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Johnny助教
2023-08-05 14:51
該回答已被題主采納
同學(xué)你好，數(shù)據(jù)的頻率和平滑不是一回事。平滑是對于房地產(chǎn)這類流動性很差的資產(chǎn)而言，其收益率不是市場報價而是根據(jù)appraisal value來得出的，會產(chǎn)生平滑處理，導(dǎo)致紙面上的相關(guān)度較低，高估了分散化效果并低估了風(fēng)險。而數(shù)據(jù)頻率高低和平滑不一樣，比如每周的收益率比每個月的收益率的頻率就會更高。隨著數(shù)據(jù)頻率的變高，對樣本方差、標(biāo)準(zhǔn)差、相關(guān)系數(shù)的估計會更為準(zhǔn)確，但樣本均值的準(zhǔn)確度未提升。如果頻率再進一步提升，就會產(chǎn)生 asynchronous，從而扭曲了相關(guān)系數(shù)
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