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SHAO · 2023年07月20日

老师，请指教

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201709270100000309

问题如下：

9.The best rationale for Quinni’s caution about the three-variable model is that the:

选项：

A.

dependent variable is defined differently.

B.

sample sizes are different in the two models.

C.

dividend growth rate is positively correlated with the other independent variables.

解释：

B is correct. If we use adjusted R2 to compare regression models, it is important that the dependent variable be defined the same way in both models and that the sample sizes used to estimate the models are the same. Varden’s first model was based on 40 observations, whereas the second model was based on 500.

老师，请问下面题目中的这句话：Varden answers both questions correctly and says he wants to check two more ideas. He believes the following:

1. ROE is less correlated with the dividend growth rate in firms whose CEO has been in office more than 15 years.

这个意思不是说div growth rate和CEO tenure有关系吗？所以这道题我理解为这两个自变量有多重共线性的问题，选了C。

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星星_品职助教 · 2023年07月21日

同学你好，

1）这句话的意思说的是Y变量（ROE）和X变量（divgr）的关系不是固定的线性关系，而是会随着其他变量的变化而变化。这说明的是Y和X的关系非线性。即违背的是Y和X需要线性相关的假设。

2）这里发生变化的是Y和X之间的关系，不是X和引发变化的其他变量（CEO tenure）之间的关系。不涉及到多重共线性。

3）题干中已经给出了divgr和CEO tenure之间的相关系数（0.028），由于该相关系数非常小，所以不构成多重共线性。

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