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摩羯大小姐 · 2023年02月28日

The correct test statistic is: t = (0.435-0.50)/0.0202 = -3.22

  1. CFA II
  2. Quantitative

NO.PZ2015120204000015

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

He also believes that for each 1 percent increase in pre-offer price adjustment, the initial return will increase by less than 0.5 percent, holding other variables constant. Hansen wishes to test this hypothesis at the 0.05 level of significance.

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)

Selected Values for the t-Distribution (df = ∞)

The most appropriate null hypothesis and the most appropriate conclusion regarding Hansen’s belief about the magnitude of the initial return relative to that of the pre-offer price adjustment (reflected by the coefficient bj) are:

选项：

Null Hypothesis
Conclusion about bj(0.05 Level of Significance)

A.

H0: bj=0.5
Reject H0

B.

H0: bj≥0.5
Fail to reject H0

C.

H0: bj≥0.5
Reject H0

解释：

C is correct.

C To test Hansen’s belief about the direction and magnitude of the initial return, the test should be a one-tailed test. The alternative hypothesis is H1: bj<0.5b_j<0.5, and the null hypothesis is H0:bj≥0.5b_j\geq0.5 . The correct test statistic is: t = (0.435-0.50)/0.0202 = -3.22, and the critical value of the t-statistic for a one-tailed test at the 0.05 level is -1.645. The test statistic is significant, and the null hypothesis can be rejected at the 0.05 level of significance.

这个T值的计算是用了哪个知识点？

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1 个答案

星星_品职助教 · 2023年02月28日

同学你好，

系数t检验的统计量计算是一级知识点的直接应用，在二级开始前的复习部分讲义可见。

本题中，sample statistic为表格中给出的系数估计值0.435，hypothesized value为根据原假设/备择假设得出的总体参数假设值0.5，standard error为表格中给出的0.0202，直接代入求解即可。

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NO.PZ2015120204000015问题如下Baseon past research, Hansen selects the following inpennt variables to preIPO initireturns: Unrwriter rank = 1–10, where 10 is highest rankPre-offer priaustment (Expressea cimal) = (Offer pri– Initifiling price)/Initifiling priceOffer size ($ millions) = Shares sol× Offer priceFraction retaine(Expressea cimal) = Fraction of totcompany shares retaineinsirsHe also believes thfor ea1 percent increase in pre-offer priaustment, the initireturn will increase less th0.5 percent, holng other variables constant. Hansen wishes to test this hypothesis the 0.05 level of significance.Hansen collects a sample of 1,725 recent IPOs for his regression mol.\Hansen’s Regression Results pennt Variable: IPO InitiReturn (Expressein cimForm, i.e., 1% = 0.01)SelecteValues for the t-stribution ( = ∞)The most appropriate null hypothesis anthe most appropriate conclusion regarng Hansen’s belief about the magnitu of the initireturn relative to thof the pre-offer priaustment (reflectethe coefficient bj) are: Null HypothesisConclusion about bj(0.05 Level of Significance)A.H0: bj=0.5RejeH0B.H0: bj≥0.5Fail to rejeH0C.H0: bj≥0.5RejeH0C is correct.C To test Hansen’s belief about the rection anmagnitu of the initireturn, the test shoula one-tailetest. The alternative hypothesis is H1: 0.5b_j 0.5bj​ 0.5, anthe null hypothesis is H0:bj≥0.5b_j\geq0.5bj​≥0.5 . The corretest statistic is: t = (0.435-0.50)/0.0202 = -3.22, anthe criticvalue of the t-statistic for a one-tailetest the 0.05 level is -1.645. The test statistic is significant, anthe null hypothesis crejectethe 0.05 level of significance.老师您好，请问计算公式中的mean这一项为什么带入的是系数b的对应的那个数呢

2024-10-20 10:48 1 · 回答

NO.PZ2015120204000015 问题如下 Baseon past research, Hansen selects the following inpennt variables to preIPO initireturns: Unrwriter rank = 1–10, where 10 is highest rankPre-offer priaustment (Expressea cimal) = (Offer pri– Initifiling price)/Initifiling priceOffer size ($ millions) = Shares sol× Offer priceFraction retaine(Expressea cimal) = Fraction of totcompany shares retaineinsirsHe also believes thfor ea1 percent increase in pre-offer priaustment, the initireturn will increase less th0.5 percent, holng other variables constant. Hansen wishes to test this hypothesis the 0.05 level of significance.Hansen collects a sample of 1,725 recent IPOs for his regression mol.\Hansen’s Regression Results pennt Variable: IPO InitiReturn (Expressein cimForm, i.e., 1% = 0.01)SelecteValues for the t-stribution ( = ∞)The most appropriate null hypothesis anthe most appropriate conclusion regarng Hansen’s belief about the magnitu of the initireturn relative to thof the pre-offer priaustment (reflectethe coefficient bj) are: Null HypothesisConclusion about bj(0.05 Level of Significance) A.H0: bj=0.5RejeH0 B.H0: bj≥0.5Fail to rejeH0 C.H0: bj≥0.5RejeH0 C is correct.C To test Hansen’s belief about the rection anmagnitu of the initireturn, the test shoula one-tailetest. The alternative hypothesis is H1: 0.5b_j 0.5bj​ 0.5, anthe null hypothesis is H0:bj≥0.5b_j\geq0.5bj​≥0.5 . The corretest statistic is: t = (0.435-0.50)/0.0202 = -3.22, anthe criticvalue of the t-statistic for a one-tailetest the 0.05 level is -1.645. The test statistic is significant, anthe null hypothesis crejectethe 0.05 level of significance. H0 =0.5，H0.5 的情况下，t critic不是与Ha的方向相反么，答案应该是rejeH0。这样的逻辑是什么地方出错了？

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