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13581943293 · 2021年09月18日

麻烦老师，画个图帮助我理解一下，是左侧的拒绝域还是右侧，我总是弄混。谢谢。

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201512020300000303

问题如下：

3.The most appropriate null hypothesis and the most appropriate conclusion regarding Hansen’s belief about the magnitude of the initial return relative to that of the pre-offer price adjustment (reflected by the coefficient bj) are:

选项：

Null Hypothesis
Conclusion about bj(0.05 Level of Significance)
A.
H0: bj=0.5
Reject H0
B.
H0: bj≥0.5
Fail to reject H0
C.
H0: bj≥0.5
Reject H0

解释：

C is correct.

To test Hansen’s belief about the direction and magnitude of the initial return, the test should be a one-tailed test. The alternative hypothesis is H1: bj<0.5b_j<0.5, and the null hypothesis is H0: bj≥0.5b_j\geq0.5. The correct test statistic is: t = (0.435-0.50)/0.0202 = -3.22, and the critical value of the t-statistic for a one-tailed test at the 0.05 level is -1.645. The test statistic is significant, and the null hypothesis can be rejected at the 0.05 level of significance.

麻烦老师，画个图帮助我理解一下，是左侧的拒绝域还是右侧，什么时候我们用左侧的拒绝域，什么时候用右侧的拒绝域。 我总是弄混。谢谢。

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星星_品职助教 · 2021年09月18日

同学你好，

拒绝域跟着备择假设Ha走，例如这道题Ha为bj小于0.5，所以拒绝域就在左尾上。

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