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stuartyuan · 2020年01月29日

问一道题:NO.PZ201512020300000303 第3小题 [ CFA II ]

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您好 老师, 我有一点没想通,原假设是H0 >/=0.5,0.5 是return 的值,那做检验的时候为什么用 pre offer adjustment 的系数 0.435 来- 0.5 呢

问题如下图:

选项:

A.

B.

C.

解释:

1 个答案

星星_品职助教 · 2020年02月03日

同学你好,

这道题多元回归的Y值是initial return,如果系数是0.435的话,意味着如果X(pre-offer adjustment)增加1,return增加0.435。所以这个0.435的系数也是和return相关的,现在就是要检验对于return的影响的这个0.435到底是否准确,到底是不是increase by less than 0.5 。所以要用0.435去和0.5比较

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NO.PZ201512020300000303 问题如下 3.The most appropriate null hypothesis anthe most appropriate conclusion regarng Hansen’s belief about the magnitu of the initireturn relative to thof the pre-offer priaustment (reflectethe coefficient bj) are: Null HypothesisConclusion about bj(0.05 Level of Significance) A.H0: bj=0.5RejeH0 B.H0: bj≥0.5Fail to rejeH0 C.H0: bj≥0.5RejeH0 C is correct.To test Hansen’s belief about the rection anmagnitu of the initireturn, the test shoula one-tailetest. The alternative hypothesis is H1: 0.5b_j 0.5bj​ 0.5, anthe null hypothesis is H0: bj≥0.5b_j\geq0.5bj​≥0.5. The corretest statistic is: t = (0.435-0.50)/0.0202 = -3.22, anthe criticvalue of the t-statistic for a one-tailetest the 0.05 level is -1.645. The test statistic is significant, anthe null hypothesis crejectethe 0.05 level of significance. 我计算的Sbj=1/(1725^0.5)=0.024077

2024-07-09 11:14 1 · 回答

NO.PZ201512020300000303 问题如下 3.The most appropriate null hypothesis anthe most appropriate conclusion regarng Hansen’s belief about the magnitu of the initireturn relative to thof the pre-offer priaustment (reflectethe coefficient bj) are: Null HypothesisConclusion about bj(0.05 Level of Significance) A.H0: bj=0.5RejeH0 B.H0: bj≥0.5Fail to rejeH0 C.H0: bj≥0.5RejeH0 C is correct.To test Hansen’s belief about the rection anmagnitu of the initireturn, the test shoula one-tailetest. The alternative hypothesis is H1: 0.5b_j 0.5bj​ 0.5, anthe null hypothesis is H0: bj≥0.5b_j\geq0.5bj​≥0.5. The corretest statistic is: t = (0.435-0.50)/0.0202 = -3.22, anthe criticvalue of the t-statistic for a one-tailetest the 0.05 level is -1.645. The test statistic is significant, anthe null hypothesis crejectethe 0.05 level of significance. 请问 这一题计算出来的检验统计量-3.22,为什么不和表里Pre-offer priaustment的检验结果21.53作对比?

2024-01-31 16:01 1 · 回答

NO.PZ201512020300000303 问题如下 3.The most appropriate null hypothesis anthe most appropriate conclusion regarng Hansen’s belief about the magnitu of the initireturn relative to thof the pre-offer priaustment (reflectethe coefficient bj) are: Null HypothesisConclusion about bj(0.05 Level of Significance) A.H0: bj=0.5RejeH0 B.H0: bj≥0.5Fail to rejeH0 C.H0: bj≥0.5RejeH0 C is correct.To test Hansen’s belief about the rection anmagnitu of the initireturn, the test shoula one-tailetest. The alternative hypothesis is H1: 0.5b_j 0.5bj​ 0.5, anthe null hypothesis is H0: bj≥0.5b_j\geq0.5bj​≥0.5. The corretest statistic is: t = (0.435-0.50)/0.0202 = -3.22, anthe criticvalue of the t-statistic for a one-tailetest the 0.05 level is -1.645. The test statistic is significant, anthe null hypothesis crejectethe 0.05 level of significance. 总是把h0和ha的设定有点搞混,不清楚这道题为什么要设定h0为bj大于等于0.5,结论是这样得出来的

2023-04-27 00:12 2 · 回答

NO.PZ201512020300000303 问题如下 3.The most appropriate null hypothesis anthe most appropriate conclusion regarng Hansen’s belief about the magnitu of the initireturn relative to thof the pre-offer priaustment (reflectethe coefficient bj) are: Null HypothesisConclusion about bj(0.05 Level of Significance) A.H0: bj=0.5RejeH0 B.H0: bj≥0.5Fail to rejeH0 C.H0: bj≥0.5RejeH0 C is correct.To test Hansen’s belief about the rection anmagnitu of the initireturn, the test shoula one-tailetest. The alternative hypothesis is H1: 0.5b_j 0.5bj​ 0.5, anthe null hypothesis is H0: bj≥0.5b_j\geq0.5bj​≥0.5. The corretest statistic is: t = (0.435-0.50)/0.0202 = -3.22, anthe criticvalue of the t-statistic for a one-tailetest the 0.05 level is -1.645. The test statistic is significant, anthe null hypothesis crejectethe 0.05 level of significance. criticvalue为什么是负的1.645,而不是1.645?如果是双尾检验,95%的置信区间,criticvalue是否等于1.96?

2023-01-23 21:09 2 · 回答

NO.PZ201512020300000303 老师好 这里T st为啥不是 减去 0.005 虽然题目里说 0.5 percent 也有提到用in cimal. \" corretest statistic is: t = (0.435-0.50)/0.0202 = -3.22\"

2021-11-11 05:26 2 · 回答