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Pina · 2020年07月15日

问一道题：NO.PZ201709270100000302

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

问题如下：

2. At a significance level of 1%, which of the following is the best interpretation of the regression coefficients with regard to explaining ROE?

选项：

A.

ESG is significant, but tenure is not.

B.

Tenure is significant, but ESG is not.

C.

Neither ESG nor tenure is significant.

解释：

C is correct. The t-statistic for tenure is 2.308, indicating significance at the 0.027 level but not the 0.01 level. The t-statistic for ESG is 1.201, with a p-value of 0.238, which means we fail to reject the null hypothesis for ESG at the 0.01 significance level.

老师好， 这里题目要看这两个东西是否是显著的 所以原假设是该两个变量不显著 Ha是该两个变量是显著的是吗? Ha 一般是题目研究的东西 对吗? 谢谢。

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1 个答案

星星_品职助教 · 2020年07月15日

同学你好，

是否显著的意思是这个系数是否“显著的不等于0”，所以这里面有两个H0，分别是ESG 的系数=0，对应Ha就是ESG 的系数≠0；另一个是 tenure 的系数=0，对应Ha就是tenor的系数≠0.

然后对这两个原假设分别进行判断，如果可以拒绝原假设，就说明接受Ha，即系数显著不等于0（significant）

Ha是我们想证明的东西，由于直接证明不便，所以就采用“反证法”的思路，通过拒绝原假设这种方法来迂回证明Ha。不过这个是一级的知识点，二级虽然考纲里也有，但很少继续考察了。

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