13. B is correct. The return to a stock can be modeled as
where Ri = return to stock i , ai = expected return to stock i, bi1 = sensitivity of the return to
stock i to inflation surprises. FINF = surprise in inflation, bi2 = sensitivity of the return to
stock i to GDP growth surprises, FGDP = surprise in GDP growth, ɛ
i= error term with a zero
mean that represents the portion of the return to asset i not explained by the factor model.
R
ATEL = 0.15 + (0.1 × 0.015) + (0.3 × 0) + 0 = 0.1515.
R
ZSTR = 0.18 + (0.2 × 0.015) + (0.0 × 0) + 0 = 0.183.
The weighted average return = 0.5 × 0.1515 + 0.5 × 0.1830 = 0.16725 = 16.725%.
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