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Darlmao · 2017年12月08日

老师这块知识点在哪节课里?我没有找到 问一道题:NO.PZ2017092702000132 [ CFA I ]

问题如下图:
选项:
A.
B.
C.
解释:
1 个答案

源_品职助教 · 2017年12月09日

我们PPT上罗列的都是最重要的,被考到概率最高的考点。如果你没有在PPT上找到题目对应的考点,可以把题目本身当作一个结论即可。

本题旨在强调通过显著性检验的数据并不一定具有经济意义这么一个知识点。

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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。 为啥拒绝原假设 就是统计显著

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