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丁洁Amy · 2021年02月24日

t-statistic和p-value

  1. CFA II
  2. Quantitative

NO.PZ2015120204000023

问题如下：

Excess stock market returnt=a0+a1Default spreadt−1+a2Term spreadt−1+a3Pres party dummyt−1+etExcess\ stock\ market\ return_t=a_0+a_1Default\ spread_{t-1}+a_2Term\ spread_{t-1}+a_3Pres\ party\ dummy_{t-1}+e_t

Default spread is equal to the yield on Baa bonds minus the yield on Aaa bonds. Term spread is equal to the yield on a 10-year constant-maturity US Treasury index minus the yield on a 1-year constant-maturity US Treasury index. Pres party dummy is equal to 1 if the US President is a member of the Democratic Party and 0 if a member of the Republican Party.

The regression is estimated with 431 observations.

Exhibit 1.Multiple Regression Output

With respect to the default spread, the estimated model indicates that when business conditions are:

选项：

A.

strong, expected excess returns will be higher.

B.

weak, expected excess returns will be lower.

C.

weak, expected excess returns will be higher.

解释：

C is correct.

The default spread is typically larger when business conditions are poor, i.e., a greater probability of default by the borrower. The positive sign for default spread (see Exhibit 1) indicates that expected returns are positively related to default spreads, meaning that excess returns are greater when business conditions are poor.

老师好，在这个题目里面还提到了t-statistic和p-value，这是代表什么意思呢？对这个题目的分析判断有影响吗？谢谢

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星星_品职助教 · 2021年02月25日

@丁洁Amy

对的，没有影响。

这道题是从一个大的case题里抽出来的，t-statistics和p-value对于这个case下的其他的小问是有用的，本题里用不到。

星星_品职助教 · 2021年02月24日

同学你好，

这道题考察的是对于回归方程系数的理解。用不到t-statistics和p-value。t-statistics和p-value都是用于判断是否拒绝原假设的。

丁洁Amy · 2021年02月25日

好的谢谢老师，所以t statistic和p value是干扰信息对此题没有影响对吧？谢谢老师

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相关问题

NO.PZ2015120204000023 问题如下 Excess stock market returnt=a0+a1fault sprea−1+a2Term sprea−1+a3Pres party mmyt−1+etExcess\ stock\ market\ return_t=a_0+a_1fault\ sprea{t-1}+a_2Term\ sprea{t-1}+a_3Pres\ party\ mmy_{t-1}+e_tExcess stock market returnt​=a0​+a1​fault sprea−1​+a2​Term sprea−1​+a3​Pres party mmyt−1​+et​fault spreis equto the yielon Bbon minus the yielon Abon. Term spreis equto the yielon a 10-yeconstant-maturity US Treasury inx minus the yielon a 1-yeconstant-maturity US Treasury inx. Pres party mmy is equto 1 if the US Presint is a member of the mocratic Party an0 if a member of the RepublicParty.The regression is estimatewith 431 observations.Exhibit 1.Multiple Regression OutputWith respeto the fault sprea the estimatemol incates thwhen business contions are: A.strong, expecteexcess returns will higher. B.weak, expecteexcess returns will lower. C.weak, expecteexcess returns will higher. C is correct.The fault spreis typically larger when business contions are poor, i.e., a greater probability of fault the borrower. The positive sign for fault spre(see Exhibit 1) incates thexpectereturns are positively relateto fault sprea, meaning thexcess returns are greater when business contions are poor. 这个系数正3.4和经济情况weak还是strong是不是没什么关系？weak或者strong有什么说法吗

2024-09-07 19:07 1 · 回答

NO.PZ2015120204000023 老师 从直观的经济层面去理解 是没问题的 但是从题意去看 a1是正的 说明自变量和因变量是正相关 不应该选C啊？

2021-05-04 11:53 1 · 回答

NO.PZ2015120204000023 The positive sign for fault spre(see Exhibit 1) incates thexpectereturns are positively relateto fault sprea, meaning thexcess returns are greater when business contions are poor. 老师好，关于解析中的这句话，前半句我理解的，因为coefficient是正数，所以正相关。但是为何正相关就可以推导出“excess returns are greater when business contions are poor.”呢？是从这个公式里面看出来的吗？谢谢

2021-02-24 18:44 1 · 回答

请问，经济条件不好的时候fault sprea大大是不是和下面的表述矛盾了fault spreis equto the yielon Bbon minus the yielon Abon. 经济不好的时候Abon的yiel是更大么？那yielon Bbon-yielon Abon不是变小了么？ 

2020-11-07 14:24 1 · 回答