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王思祺 · 2020年09月05日

问一道题:NO.PZ2017092702000132 [ CFA I ]

问题如下图:

选项:

A.

B.

C.

解释:

2、802是fall inside the拒绝域吧

1 个答案

星星_品职助教 · 2020年09月06日

同学你好,

可以这么判断,如果计算出来的t-statistics的绝对值大于了查表得出来的t critical value,那么就是落入拒绝域,也就是拒绝原假设。也就是statistically significant。

例如这道题2.802>2.756,那么就是statistically significant,直接选A即可

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NO.PZ2017092702000132问题如下analyst tests the profitability of a trang strategy with the null hypothesis being ththe average abnormreturn before trang costs equals zero. The calculatet-statistic is 2.802, with criticvalues of ± 2.756 significanlevel α = 0.01. After consiring trang costs, the strategy’s return is nezero. The results are most likely:A.statistically but not economically significant. B.economically but not statistically significant. C.neither statistically nor economically significant. A is correct.The hypothesis is a two-taileformulation. The t-statistic of 2.802 falls outsi the criticrejection points of less th–2.756 angreater th2.756, therefore the null hypothesis is rejecte the result is statistically significant. However, spite the statisticresults, trying to profit on the strategy is not likely to economically meaningful because the return is nezero after transaction costs本题的|test statistics|>|criticvalue|,即2.802>2.756。所以检验的结果是拒绝strategy's return=0的原假设,此时就是statistically significant。“After consiring trang costs, the strategy’s return is nezero”,说明从经济意义上是不值得去做这个策略的,即not economically significant。 Economic s是否显著是怎么判断的呢?还需要带入统计假设里面去看是拒绝H0吗?

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