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cui1130 · 2023年02月07日

拒绝原假设为什么要选A啊

  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。

拒绝原假设为什么要选A啊

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1 个答案

星星_品职助教 · 2023年02月07日

同学你好，

拒绝原假设的描述即是A选项中的statistically ... significant。B、C均为not statistically significant，也就是不能拒绝原假设。

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