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刘杨 · 2024年03月22日

为啥是负值

  1. CFA II
  2. Quantitative

NO.PZ2015120204000015

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

He also believes that for each 1 percent increase in pre-offer price adjustment, the initial return will increase by less than 0.5 percent, holding other variables constant. Hansen wishes to test this hypothesis at the 0.05 level of significance.

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)

Selected Values for the t-Distribution (df = ∞)

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.

C 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.

请问这个题 右尾左尾怎么判断

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1 个答案

品职助教_七七 · 2024年03月22日

嗨，从没放弃的小努力你好：


右尾/左尾根据备择假设判断。根据“研究人员相信的、想证明的放在备择假设，以及本题题干的He also believes that for each 1 percent increase in pre-offer price adjustment, the initial return will increase by less than 0.5 percent。说明本题备择假设应为Ha：bj＜0.5。


通过这个备择假设，可知本题为单尾检验，且拒绝域在左尾。

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