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大太阳 · 2020年08月10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.

老师这句话哪里体现了ROE和DIVIDEND不是线性关系了？ 1. ROE is less correlated with the dividend growth rate in firms whose CEO has been in office more than 15 years, 不懂为啥违背了Assumptions

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星星_品职助教 · 2020年08月11日

同学你好，

如果ROE和 dividend growth rate是线性关系的话，那么ROE和dividend growth rate的关系应该是始终一致的，而不是会受其他因素例如CEO任期因素的影响。

现在这句话说ROE和CEO任期不足15年的公司的dividend growth rate的线性相关关系强，ROE和CEO任期超过15年的公司的dividend growth rate的线性相关关系弱，这明显是一个在变动的关系，也就无法用一个固定的线性关系给表达出来。

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