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土豆牛腩 · 2019年12月04日

问一道题：NO.PZ201709270100000308

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

问题如下：

8.If Varden’s beliefs about ROE and CEO tenure are true, which of the following would violate the assumptions of multiple regression analysis?

选项：

A.

The assumption about CEO tenure distribution only

B.

The assumption about the ROE/dividend growth correlation only

C.

The assumptions about both the ROE/dividend growth correlation and CEO tenure distribution

解释：

C is correct. Multiple linear regression assumes that the relationship between the dependent variable and each of the independent variables is linear.

Varden believes that this is not true for dividend growth because he believes the relationship may be different in firms with a long-standing CEO. Multiple linear regression also assumes that the independent variables are not random. Varden states that he believes CEO tenure is a random variable.

ROE的解释看了好几遍，还是没想清楚，请解释一下，谢谢。

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星星_品职助教 · 2019年12月04日

同学你好，

这道题考察多元回归的假设。ROE的描述考察的是第一条：Y和X需要有线性关系。

这道题ROE是Y变量，而Dividend growth是一个X变量。所以ROE和dividend growth之间应该是线性关系，即dividend growth发生变化，ROE会随之变化固定的单位

而题干中描述dividend growth对ROE的影响不是固定的（对于CEO任职15年以上的公司影响弱），所以就违背了线性关系这一条假设。

另外第二个关于CEO的描述违背的是假设的第二条，X变量不能是随机变量。加油~


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