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米妮涵 · 2021年08月06日

这题的考点是什么？

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201709270100000308

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.

助教，能否解释一下这题的考点是什么么？以及为什么两个都违背了假设

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已采纳答案

星星_品职助教 · 2021年08月06日

同学你好，

考察多元回归的假设（如讲义截图）。

对于第一条，Varden认为CEO 任期超过15年的公司的股息增长率与ROE的关系较弱。这说明股息增长率与ROE的关系不是固定的线性关系（受到CEO 任期的影响）。那么这就违背了自变量与因变量之期间呈现线性关系的假设。

对于第二条，Varden认为CEO tenure是服从正态分布随机变量。这就违反了自变量不能是随机变量这个假设。


𝒜𝒩𝒥𝒜 安雅🎃 · 2022年11月16日

请问dependent variable 和 independent variable之间的关系较弱就不是linear吗？linear 是专指correlation = 1时的情况？这题是因为公司的股息增长率与ROE的correlation为0.117，接近0，所以算是关系较弱吗？

星星_品职助教 · 2022年11月17日

@𝒜𝒩𝒥𝒜 安雅🎃

不是线性关系是因为Y（即ROE）和X（即divgr）的关系一会弱一会强（对于CEO 任期超过15年的X而言，此时和Y的关系弱）。而线性关系中，Y和X的关系是固定的。


𝒜𝒩𝒥𝒜 安雅🎃 · 2022年11月17日

明白了，这细节点没留意到！谢谢！

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