神马作文网一道关于假设检验的题目!跟CFA一级有关!
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一道关于假设检验的题目!跟CFA一级有关!
The following data are covered by the next four questions,Q6 Q7,Q8
An analyst regresses the returns from two stocks against the S&P 500 Index,using monthly data,measured as a percentage return,for ten years.The results are shown below.
Security_A Security_B
Intercept 0.6 0.2
Standard Error of Intercept 0.4 0.4
Slope coefficient 1.1 0.7
Standard Error of slope coefficient 0.8 0.15
Q.6
Which of the following statements is TRUE using a 0.05 significance level?
a) Only security A is significantly influenced by S&P 500.
b) Only security B is significantly influenced by S&P 500.
c) Both security A and security B are significantly influenced by S&P 500.
d) Neither security A nor security B is significantly influenced by S&P 500.
Q.7
If S&P unexpectedly rises 10% you would expect:
a) The unexpected return on security A to be 11%
b) The unexpected return on security A to be 17%
c) The unexpected return on security A to be 1.1%
d) The unexpected return on security A to be 1.7%
Q.8
If the expected return on S&P index is 9% the expected return on security B is
a) 1.7%
b) 1.05%
c) 9.9%
d) 6.5%
关于零假设和备择假设的题目一直很困惑!小弟英语水平有限,有的词实在不知道怎么翻译,所以就直接上英文了.能答几题就答几题.还剩最后70分,全献了!
老师给的答案Q6选B,Q7选A,Q8选D.小弟谢过了!
我这个问题是关于经济的,怎么划分到英语里面了?
The following data are covered by the next four questions,Q6 Q7,Q8
An analyst regresses the returns from two stocks against the S&P 500 Index,using monthly data,measured as a percentage return,for ten years.The results are shown below.
Security_A Security_B
Intercept 0.6 0.2
Standard Error of Intercept 0.4 0.4
Slope coefficient 1.1 0.7
Standard Error of slope coefficient 0.8 0.15
Q.6
Which of the following statements is TRUE using a 0.05 significance level?
a) Only security A is significantly influenced by S&P 500.
b) Only security B is significantly influenced by S&P 500.
c) Both security A and security B are significantly influenced by S&P 500.
d) Neither security A nor security B is significantly influenced by S&P 500.
Q.7
If S&P unexpectedly rises 10% you would expect:
a) The unexpected return on security A to be 11%
b) The unexpected return on security A to be 17%
c) The unexpected return on security A to be 1.1%
d) The unexpected return on security A to be 1.7%
Q.8
If the expected return on S&P index is 9% the expected return on security B is
a) 1.7%
b) 1.05%
c) 9.9%
d) 6.5%
关于零假设和备择假设的题目一直很困惑!小弟英语水平有限,有的词实在不知道怎么翻译,所以就直接上英文了.能答几题就答几题.还剩最后70分,全献了!
老师给的答案Q6选B,Q7选A,Q8选D.小弟谢过了!
我这个问题是关于经济的,怎么划分到英语里面了?
CFA的数学题目其实都不难
这道题目要注意几点：
1.既然是跟S&P500做回归,那么应该属于macroeconomic model范畴,截距应该是expected return而不是risk-free rate
2.做回归的题目先写方程：
Security_A：y=0.6+1.1x
Security_B:y=0.2+0.7x
要注意这里的x都是S&P500的return
Q6：
用standard error和5%的显著性水平（z值为1.96）：
对Security_A：1.96*0.8=1.568
那么A的slope coefficient实际区间应该是
[1.1-1.568,1.1+1.568]
Security_B:1.96*0.15=0.294
那么B的slope coefficient实际区间应该是
[0.7-0.294,0.7+0.294]
这题本人有点疑问,印象中,CFA一级没有提到过“significant influence”是如何定量化的,如果现在的教材仍未提及的话,个人倾向于A选项,因为x前面系数变化更剧烈,相比之下B证券受S&P影响比较稳定
Q7
unexpected return,指实际return减去expected return
y-0.6=1.1*10%=11%
选A
Q8
将x=9%代入B的方程即可
y=0.2+0.7*9=6.5 这里要注意,CFA的model部分默认是去掉百分号的,9%应该代入9,否则在加上intercept的时候会出错.
选D
PS:麻烦给点分吧...要不没积极性了-.-
----------
其实我只是路过...
Life is not here,but there.
这道题目要注意几点：
1.既然是跟S&P500做回归,那么应该属于macroeconomic model范畴,截距应该是expected return而不是risk-free rate
2.做回归的题目先写方程：
Security_A：y=0.6+1.1x
Security_B:y=0.2+0.7x
要注意这里的x都是S&P500的return
Q6：
用standard error和5%的显著性水平（z值为1.96）：
对Security_A：1.96*0.8=1.568
那么A的slope coefficient实际区间应该是
[1.1-1.568,1.1+1.568]
Security_B:1.96*0.15=0.294
那么B的slope coefficient实际区间应该是
[0.7-0.294,0.7+0.294]
这题本人有点疑问,印象中,CFA一级没有提到过“significant influence”是如何定量化的,如果现在的教材仍未提及的话,个人倾向于A选项,因为x前面系数变化更剧烈,相比之下B证券受S&P影响比较稳定
Q7
unexpected return,指实际return减去expected return
y-0.6=1.1*10%=11%
选A
Q8
将x=9%代入B的方程即可
y=0.2+0.7*9=6.5 这里要注意,CFA的model部分默认是去掉百分号的,9%应该代入9,否则在加上intercept的时候会出错.
选D
PS:麻烦给点分吧...要不没积极性了-.-
----------
其实我只是路过...
Life is not here,but there.