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Pina · 2021年02月10日

significant at the 0.027 level

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201709270100000301

问题如下：

1. Based on Exhibit 1 and given Varden’s expectations, which is the best null hypothesis and conclusion regarding CEO tenure?

选项：

A.

b2≤ 0; reject the null hypothesis

B.

b2 = 0; cannot reject the null hypothesis

C.

b2 ≥ 0; reject the null hypothesis

解释：

A is correct. Varden expects to find that CEO tenure is positively related to the firm’s ROE. If he is correct, the regression coefficient for tenure, b2, will be greater than zero (b2 > 0) and statistically significant. The null hypothesis supposes that the "suspected" condition is not true, so the null hypothesis should state the variable is less than or equal to zero. The t-statistic for tenure is 2.308, significant at the 0.027 level, meeting Varden’s 0.05 significance requirement. Varden should reject the null hypothesis.

老师好 significant at the 0.027 level ， 0.027 是什么， 哪里来的？ 谢谢

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星星_品职助教 · 2021年02月10日

同学你好，

题干中的“CEO tenure”对应的是回归方程中的第二个自变量，系数为b2.

“ 0.027”是系数b2对应的p-value的值，可以从题干中的表格“Exhibit 1”的右下角直接得到。

根据p-value的性质，只要p-value＜α，就拒绝原假设，所以“ significant at the 0.027 level ”的意思是：

①只要α达到了不低于0.027的水平，检验结果就是“significant”的，即就可以拒绝原假设。

②本题α=0.05，大于了0.027，所以拒绝原假设（significant）

 

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