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Easylearning · 2023年04月23日

请问4.849在题目哪里看到？

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202208220100000205

问题如下：

You are a junior analyst at an asset management firm. Your supervisor asks you toanalyze the return drivers for one of the firm’s portfolios. She asks you to constructa regression model of the portfolio’s monthly excess returns (RET) againstthree factors: the market excess return (MRKT), a value factor (HML), and themonthly percentage change in a volatility index (VIX). You collect the data andrun the regression. After completing the first regression (Model 1), you reviewthe ANOVA results with your supervisor.

Then, she asks you to create two more models by adding two more explanatoryvariables: a size factor (SMB) and a momentum factor (MOM). Your three modelsare as follows:


The regression statistics and ANOVA results for the three models are shown in

Exhibit 1, Exhibit 2, and Exhibit 3.



Your supervisor asks for your assessment of the model that provides the best fit

as well as the model that is best for predicting values of the monthly portfolio

return. So, you calculate Akaike’s information criterion (AIC) and Schwarz’s

Bayesian information criterion (BIC) for all three models, as shown in Exhibit 4.



Calculate the joint F-statistic and determine whether SMB and MOM together contribute to explaining RET in Model 3 at a 1% significance level (use a critical value of 4.849).

选项：

A.2.216, so SMB and MOM together do not contribute to explaining RET

B.8.863, so SMB and MOM together do contribute to explaining RET

C.9.454, so SMB and MOM together do contribute to explaining RET

解释：

B is correct. To determine whether SMB and MOM together contribute to theexplanation of RET, at least one of the coefficients must be non-zero.

So, H0:bSMB = bMOM = 0 and Ha: bSMB ≠ 0 and/or bMOM ≠ 0.

We use the F-statistic, where

with q = 2 and n – k – 1 = 90 degrees of freedom. The test is one-tailed, right side,with α = 1%, so the critical F-value is 4.849.

Model 1 does not include SMB and MOM, so it is the restricted model. Model3 includes all of the variables of Model 1 as well as SMB and MOM, so it is the unrestricted model.

Using data in Exhibit 1 and Exhibit 3, the joint F-statistic is calculated as


Since 8.863 > 4.849, we reject H0. Thus, SMB and MOM together do contribute to the explanation of RET in Model 3 at a 1% significance level.

freedom. The test is one-tailed, right side, with a = 1%, so the critical F-value is 4.849.


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1 个答案

星星_品职助教 · 2023年04月23日

同学你好，

4.849是F test的关键值。参照题目的最后一句话。

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NO.PZ202208220100000205 问题如下 Calculate the joint F-statistic antermine whether SMB anMOM together contribute to explaining RET in Mol 3 a 1% significanlevel (use a criticvalue of 4.849). A.2.216, so SMB anMOM together not contribute to explaining RET B.8.863, so SMB anMOM together contribute to explaining RET C.9.454, so SMB anMOM together contribute to explaining RET B is correct. To termine whether SMB anMOM together contribute to theexplanation of RET, least one of the coefficients must non-zero. So, H0:bSM= bMOM = 0 anHbSMB ≠ 0 anor bMOM ≠ 0.We use the F-statistiwhere with q = 2 ann – k – 1 = 90 grees of freem. The test is one-taile right si,with α = 1%, so the criticF-value is 4.849.Mol 1 es not inclu SMB anMOM, so it is the restrictemol. Mol3 inclus all of the variables of Mol 1 well SMB anMOM, so it is the unrestrictemol.Using ta in Exhibit 1 anExhibit 3, the joint F-statistic is calculateasSin8.863 4.849, we rejeH0. Thus, SMB anMOM together contribute to the explanation of RET in Mol 3 a 1% significanlevel. [（0.9230-0.9070）/2]÷[(1-0.9230)/90]=9.3506 请问这个计算哪里错了？怎么结果不一样

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2023-06-04 11:36 1 · 回答

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