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yycfa · 2024年05月01日

seasonality

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202304050200002902

问题如下：

Determine using Exhibit 2 which one of the following statements is most likely to be correct. Monthly seasonality in the firm’s portfolio is________.

选项：

A.

highly likely

B.

highly unlikely

C.

not able to be determined from the given data

解释：

B is correct. Monthly seasonality in the firm’s portfolio is highly unlikely. The variance explained by the model (R-squared) is only 10.3%, and after adjusting for the number of independent variables (adjusted R-squared), it becomes negative. Also, the insignificant F-statistic indicates a 56.3% chance that all variable coefficients are zero. Finally, t-statistics and associated p-values indicate that all the variable coefficients are insignificant (i.e., not significantly different from zero). Consequently, monthly seasonality is highly unlikely to exist in this portfolio.

老师扩展的部分。提到请问如果系数显著的情况下，能说明各月份之间有差别的明显，为何能说明有明显的monthly seasonanlity，在此处如何理解季节性（规律性）？

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1 个答案

品职助教_七七 · 2024年05月02日

嗨，爱思考的PZer你好：


如果系数显著的话，就说明显著系数所对应的那个月份对于结果有明显影响，这就是有那个月份的“monthly seasonality”。

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