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李羊羊羊羊 · 2022年11月24日

the strategy’s return is near zero

  1. CFA I
  2. Quantitative

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。

老师这句话的意思不应该是Ha:u=0吗

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1 个答案

星星_品职助教 · 2022年11月24日

同学你好，

1）“After considering trading costs, the strategy’s return is near zero”这句话指的是做这笔交易在经济意义上不显著，也就是从纯统计上看能赚到钱，但在实际交易中要考虑统计中不考虑的交易成本，综合来看不挣钱，即not economically significant；

2）本题不需要自行建立原假设和备择假设，但如果要建立的话，如果要检验一个确定性的数字，那么原假设一定是总体参数=这个数字，备择假设是总体参数≠这个数字，不会出现相反的情况。

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