Blog

In the following table Ri is the return on stock i and Rm is the return on market. The estimate of the tcritical for αi at 5% level of significance is closest to: t Ri Rm (Rm-Rmbar)^2 error^2 Rm^2 1 0.080 0.100 5.625E-05 0.0000 0.01 2 -0.040 0.130 0.000506 0.0005 0.0169 3 0.040 0.120 0.000156 0.0007 0.0144 4 0.130 0.080 0.000756 0.0001 0.0064 Total 0.21000 0.43000 0.001475 0.0013 0.0477 Mean 0.05250 0.10750 variance 0.00516 0.00049 covariance -0.00153   SEE 0.02535

Use the following information:   Number of Forecast Mean Forecast Error SD of Forecast Errors Analyst A          101             0.05 0.10 Analyst B          121            0.02 0.09      For Analyst A, determine, using t-test find whether the null hypothesis of zero mean test of forecasting quality is rejected at the 0.01 level of significance?

Your portfolio of assets has a mean return of 12% and a standard deviation of 22%. You can buy a one-year T-bill that yields 5.5%. This yield is effectively a one-year risk-free interest rate. What is the probability that your portfolio’s return will be equal to or less than the risk-free rate?

You believe that the average annual returns for banks are less than 10%. The appropriate null and alternate hypotheses to test this belief is?

In the following table Ri is the return on stock i and Rm is the return on market. The estimate of total risk of security i is closest to: t Ri Rm (Rm-Rmbar)^2 error^2 Rm^2 1 0.080 0.100 5.625E-05 0.0000 0.01 2 -0.040 0.130 0.000506 0.0005 0.0169 3 0.040 0.120 0.000156 0.0007 0.0144 4 0.130 0.080 0.000756 0.0001 0.0064 Total 0.21000 0.43000 0.001475 0.0013 0.0477 Mean 0.05250 0.10750 variance 0.00516 0.00049 covariance -0.00153   SEE 0.02535

The current change in the unemployment rate is 0.03. What is the best prediction of the next change? The unemployment rate is estimated using the following model:∆URt= b0 + b1∆URt-1+ €tUsing monthly observations from March 2015 to December 2019 you estimate the following.  Regression Statistics R Squared 0.2184 Standard Error 0.1202 Observations 58 Durbin-Watson 2.1852   Coefficients Standard Error t Stat Intercept -0.0405 0.0161 -2.51 ∆URt-1 -0.4674 0.1181 -3.96

Which of the following statements is correct for a hypothesis test with a probability of Type I error of 5% and Type II error of 15%?

Use the following information:   Number of Forecast Mean Forecast Error SD of Forecast Errors Analyst A          101             0.05 0.10 Analyst B          121            0.02 0.09      The t-stat for null hypothesis consistent with determining whether the population mean value of Analyst A’s forecast errors (µ₁) are larger than Analyst B’s. Use t-test and assume population variances are equal.

In the following table Ri is the return on stock i and Rm is the return on market. The estimate of the tstat for αi is closest to: t Ri Rm (Rm-Rmbar)^2 error^2 Rm^2 1 0.080 0.100 5.625E-05 0.0000 0.01 2 -0.040 0.130 0.000506 0.0005 0.0169 3 0.040 0.120 0.000156 0.0007 0.0144 4 0.130 0.080 0.000756 0.0001 0.0064 Total 0.21000 0.43000 0.001475 0.0013 0.0477 Mean 0.05250 0.10750 variance 0.00516 0.00049 covariance -0.00153   SEE 0.02535

Use the following information:   Number of Forecast Mean Forecast Error SD of Forecast Errors Analyst A          101             0.05 0.10 Analyst B          121            0.02 0.09      You test for null hypothesis consistent with determining whether the population mean value of Analyst A’s forecast errors (µ₁) are larger than Analyst B’s. Use t-test and assume population variances are equal. The t-critical at .05 level of significance is closest to: