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cheeric · 2024年10月20日

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

  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.

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

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已采纳答案

品职助教_七七 · 2024年10月20日

嗨，爱思考的PZer你好：


t统计量的公式中，分子第一项要代入系数估计量的值，也就是表格中的coefficient那一列的值。

B1是原假设中假设的值，本题中为0.5。

注意检验回归方程系数的t统计量的公式中，没有“mean”这一项。公式中有X bar的情况对应的是均值的检验。

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