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标题: Reading 11: Hypothesis Testing-LOS e 习题精选 [打印本页]

作者: 1215 时间: 2011-3-4 15:21 标题: [2011]Session 3-Reading 11: Hypothesis Testing-LOS e 习题精选

Session 3: Quantitative Methods: Application
Reading 11: Hypothesis Testing

LOS e: Explain and interpret the p-value as it relates to hypothesis testing.

An analyst is testing the hypothesis that the mean excess return from a trading strategy is less than or equal to zero. The analyst reports that this hypothesis test produces a p-value of 0.034. This result most likely suggests that the:

A)
null hypothesis can be rejected at the 5% significance level.

B)
best estimate of the mean excess return produced by the strategy is 3.4%.

C)
smallest significance level at which the null hypothesis can be rejected is 6.8%.

A p-value of 0.035 means the hypothesis can be rejected at a significance level of 3.5% or higher. Thus, the hypothesis can be rejected at the 10% or 5% significance level, but cannot be rejected at the 1% significance level.

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