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alina319 · 2022年05月04日

为什么确认是双尾呢？

  1. CFA II
  2. Quantitative

NO.PZ2015120204000014

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).

是因为默认用的是F检验吗？所以用的是正态分布的关键值 为什么不用题目表三里给的1.645？

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星星_品职助教 · 2022年05月04日

同学你好，

数量科目中，confidence interval都是双尾情况。

所以本题的5%是双尾面积之和，右尾即为2.5%，对应Exhibit 3中的1.960。

本题不涉及假设检验，也没有F检验。使用的是t分布，关键值直接根据表格来取就可以。

alina319 · 2022年05月04日

谢谢老师，节日快乐！

星星_品职助教 · 2022年05月05日

@alina319

节日快乐，学习加油~

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