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Helen 🎈 · 2023年09月28日

能不能抱我理解记一下

  1. CFA I
  2. Quantitative

NO.PZ2017092702000132

问题如下：

An analyst tests the profitability of a trading strategy with the null hypothesis being that the average abnormal return before trading costs equals zero. The calculated t-statistic is 2.802, with critical values of ± 2.756 at significance level α = 0.01. After considering trading costs, the strategy’s return is near zero. The results are most likely:

选项：

A.

statistically but not economically significant.

B.

economically but not statistically significant.

C.

neither statistically nor economically significant.

解释：

A is correct.

The hypothesis is a two-tailed formulation. The t-statistic of 2.802 falls outside the critical rejection points of less than –2.756 and greater than 2.756, therefore the null hypothesis is rejected; the result is statistically significant. However, despite the statistical results, trying to profit on the strategy is not likely to be economically meaningful because the return is near zero after transaction costs

本题的|test statistics|＞|critical value|，即2.802＞2.756。所以检验的结果是拒绝strategy's return=0的原假设，此时就是statistically significant。

“After considering trading costs, the strategy’s return is near zero”，说明从经济意义上是不值得去做这个策略的，即not economically significant。

为啥拒绝原假设 就是统计显著

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1 个答案

星星_品职助教 · 2023年09月28日

同学你好，

拒绝原假设的全称是 检验结果（在统计上）显著的与原假设的假设值不同，所以拒绝原假设。一般就直接简称为 显著。

所以做题时，reject和significant可以直接画等号。

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