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ss_liu · 2020年03月09日

问一道题：NO.PZ2017092702000132

  1. CFA I
  2. Quantitative

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

不太明白这道题目 麻烦老师帮忙解释

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1 个答案

星星_品职助教 · 2020年03月10日

同学你好，

题目问的是1. 统计上是否显著，也就是能否拒绝原假设，这个是常见的考点 2. 这个事情有没有经济学的意义，这个考点不常见了解即可

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