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Michael · 2020年03月08日

问一道题：NO.PZ2015120204000014

  1. CFA II
  2. Quantitative

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

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)

The 95 percent confidence interval for the regression coefficient for the pre-offer price adjustment is closest to:

选项：

A.

0.156 to 0.714.

B.

0.395 to 0.475.

C.

0.402 to 0.468.

解释：

B is correct.

The 95% confidence interval is 0.435 ± (0.0202 × 1.96) = (0.395, 0.475).

题目中的t-statistic是用来干嘛的啊？

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2 个答案

星星_品职助教 · 2020年04月19日

t-statistics=(b1 cap-0)/standard error

可以随意用一行数字例如pre-offer price adjustment来验证，t-statistics=(0.435-0)/0.0202=21.5347.

星星_品职助教 · 2020年03月08日

同学你好，

这道题里t统计量没用。但如果没给standard error，就可以用t统计量来反推了

Bluebiubiu · 2020年04月19日

怎么推

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