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IanZQ · 2022年07月03日

我理解的对么?

  1. CFA II
  2. Quantitative

NO.PZ2015120204000014

问题如下：

Based on past research, Hansen selects the following independent variables to predict IPO initial returns:

Underwriter rank = 1–10, where 10 is highest rank

Pre-offer price adjustment (Expressed as a decimal) = (Offer price – Initial filing price)/Initial filing price

Offer size ($ millions) = Shares sold × Offer price

Fraction retained (Expressed as a decimal) = Fraction of total company shares retained by insiders

Hansen collects a sample of 1,725 recent IPOs for his regression model.

\Hansen’s Regression Results Dependent Variable: IPO Initial Return (Expressed in Decimal Form, i.e., 1% = 0.01)




The 95 percent confidence interval for the regression coefficient for the pre-offer price adjustment is closest to:

选项：

A.

0.156 to 0.714.

B.

0.395 to 0.475.

C.

0.402 to 0.468.

解释：

B is correct.

The 95% confidence interval is 0.435 ± (0.0202 × 1.96) = (0.395, 0.475).

这题是问的是双尾5%，但是给的是T表是单尾的，所以要0.05/2=0.025，查表要用0.025的数据。这块特别晕，有没一个清晰的逻辑梳理的说明~？

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1 个答案

星星_品职助教 · 2022年07月04日

同学你好，

查t表用的就是你的逻辑。由于本题给出的是单尾的t表（Exhibit 3），所以无论题干给出什么条件，都要转化为单尾的情况去做对应。

本题双尾5%，所以得到单尾为0.025，应对应Exhibit 3中的1.96

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