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8527 · 2023年09月08日

选项A和B读起来都对，请老师解释一下为什么B不对

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202208220100000201

问题如下：

Determine which one of the following reasons for the change in adjusted R2 from Model 2 to Model 3 is most likely to be correct.

选项：

A.Adjusted R2 decreases since adding MOM does not improve the overall explanatory power of Model 3. B.Adjusted R2 increases since adding SMB improves the overall explanatory power of Model 2. C.Adjusted R2 decreases since adding MOM improves the overall explanatory power of Model 3.

解释：

A is correct. Adjusted R2 in Model 3 decreases to 0.844 from 0.846 in Model 2.Model 3 includes all independent variables from Model 2, while adding MOM.Adding variables to a regression model always either increases R2 or causes it to stay the same. But adjusted R2 only increases if the new variable meets a threshold of significance, |t-statistic| > 1. MOM does not meet this threshold, indicatingit does not improve the overall explanatory power of Model 3.

如题 谢谢


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星星_品职助教 · 2023年09月08日

同学你好，

本题的adjusted R2 从Model 2到Model 3是下降的。可参照题干图表或者直接看答案解析。故直接排除B选项的“increase”。

此外，Model 2和Model 3里都有SMB，也不存在“ adding SMB”。增加的变量是MOM。

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