You are asked by your boss to estimate the exposure of a hedge fund to the S&P 500. Though the fund claims to mark to market weekly, it does not do so and marks to market once a month. The fund also does not tell investors that it simply holds an Exchange Traded Fund (ETF) that is indexed to the S&P 500. Because of the claims of the hedge fund, you decide to estimate the market exposure by regressing weekly returns of the fund on the weekly return of the S&P 500. Which of the following correctly describes a property of your regression estimates?

A.      The intercept of your regression will be positive, showing that the fund has positive alpha when estimated using an OLS regression.
B.     The beta will be misestimated because hedge fund exposures are nonlinear.
C.     The beta of your regression will be one because the fund holds the S&P 500.
D .    The beta of your regression will be zero because the fund returns are not synchronous with the S&P 500 returns.


这道题我目前为止包括在handbook P423看到了三种答案，分别是A，C，D. 不知道到底该选什么