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Alma · 2024年05月18日

老师，题目中专门说这个系数是用小数位表达的，有用么？

  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.

我就是看了这个提示，为了统一单位，以为应该把0.5%改成0.005计算的。

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1 个答案

品职助教_七七 · 2024年05月18日

嗨，爱思考的PZer你好：


1）这个提示是针对表格里的数字的，说明表里的例如0.0477就是最终数字，不是0.0477%。如果需要将这些数字代入方程计算时，别误代入0.0477%了。

即这类提示所对应的考法往往跟给出方程形式，要求计算Y值有关。跟本题没有直接关系。


2）这道题所考察的设定假设中，如果把后面的0.5 percent改为0.005，前面的1 percent同样也要改为0.01。这样改并没有意义，最后还是0.5对1的关系。


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