NO.PZ2015120204000027
问题如下:
Epstein asks Litvenko whether it is possible to identify companies that are likely to outperform the market in the next period rather than just trying to predict the return for a company.The most appropriate way to address the outperformance issue discussed by Epstein and Litvenko is to:
选项:
A. use a probit model.
B. add a dummy variable to the regression.
C. replace one or more of the independent variables with its logarithmic transformation.
解释:
A is correct. A probit model is appropriate for a binary decision, such as whether a security is likely to outperform the market or not.
B is incorrect. A dummy variable is a qualitative independent variable. A model to classify outcomes as binary requires a qualitative dependent variable.
C is incorrect. A logarithmic transformation of an independent variable is appropriate when its relationship with the dependent variable is non-linear, but it will not change the form of the dependent variable to binary (outperforms or does not).
有点想不起来是在什么地方出现过,请老师明示