NO.PZ2023091601000126
问题如下：
An analyst is testing a
hypothesis that the beta, β, of stock CDM is 1. The analyst runs an ordinary
least squares regression of the monthly returns of CDM, RCDM, on the monthly
returns of the S&P 500 index, Rm, and obtains the following relation:
RCDM = 0.86 Rm - 0.32
The
analyst also observes that the standard error of the coefficient of Rm is 0.80. In order to test the hypothesis H0: β = 1 against H1: β ≠ 1, what is the correct statistic to
calculate?
选项：
A.t-statistic
B.Chi-square test statistic
C.Jarque-Bera test statistic
D.Sum of squared residuals
解释：
The correct test is
the t test. The t statistic is defined by:
In
this case t = -0.175. Since |t| < 1.6 we cannot reject the null hypothesis
答案中的Since |t| < 1.6 ，这个1.6怎么来的
