NO.PZ2020010304000051
问题如下:
You collect 50 years of annual data on equity and bond returns. The estimated mean equity return is 7.3% per year, and the sample mean bond return is 2.7% per year. The sample standard deviations are 18.4% and 5.3%, respectively. The correlation between the two-return series is -60%. Are the expected returns on these two assets the same? Does your answer change if the correlation is 0?
解释:
The null hypothesis is .
The alternative is .
The test statistic is based on the difference of the average returns, = 7.3% - 2.7% = 4.6%.
The estimator of the variance of the difference is , which is
The test statistic is
The critical value for a two-sides test is using a size of 5%. The null is not rejected.
If the correlation was 0, then the variance estimate would be 0.0366, and the test statistic is 1.69. The null would still not be rejected if the size was 5%, although if the test size was 10%, then the critical value would be and the correlation would matter.
请问现在讲义里有这部分内容吗?没有印象讲过了