NO.PZ2017092702000132
问题如下：
An analyst tests the profitability of a trading strategy with the null hypothesis being that the average abnormal return before trading costs equals zero. The calculated t-statistic is 2.802, with critical values of ± 2.756 at significance level α = 0.01. After considering trading costs, the strategy’s return is near zero. The results are most likely:
选项：
A.statistically but not economically significant.
B.economically but not statistically significant.
C.neither statistically nor economically significant.
解释：
A is correct.
The hypothesis is a two-tailed formulation. The t-statistic of 2.802 falls outside the critical rejection points of less than –2.756 and greater than 2.756, therefore the null hypothesis is rejected; the result is statistically significant. However, despite the statistical results, trying to profit on the strategy is not likely to be economically meaningful because the return is near zero after transaction costs
本题的|test statistics|＞|critical value|，即2.802＞2.756。所以检验的结果是拒绝strategy's return=0的原假设，此时就是statistically significant。
“After considering trading costs, the strategy’s return is near zero”，说明从经济意义上是不值得去做这个策略的，即not economically significant。
麻烦 请问本题中 average abnormal return的定义？可翻译为“超额收益” 吗？可负可正？
