Hello!

Pasting from Schweser:

*The expected values of the factors and random error in a amcroeconomic factor model equal zero --> the expected return for the stock equals the intercept.*

Is that a given? Why do we learn to calculate it a few pages earlier then using the sensitivities and the factor surprises?

But of course! Devil is in the details!!!

Thank you, ceteris_paribus!

By the way: there’s no reason that macroeconomic factor values **have to be** surprises, but traditionally they are.

The reason macroeconomic factor values are typically surprises is that we assume that the market price of the asset has already accounted for the *expected* macroeconomic values.