Reading 7: Statistical Concepts and Market Returns-LOS k 习题 2011, concerning, statements, following, interpret

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Session 2: Quantitative Methods: Basic Concepts
Reading 7: Statistical Concepts and Market Returns

LOS k: Define and interpret measures of sample skewness and kurtosis.

 

 

Which of the following statements concerning skewness is least accurate? A distribution with:

A) a distribution with skew equal to 1 is not symmetrical.

B) negative skewness has a large number of outliers on its left side.

C) positive skewness has a long left tail.

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A distribution with positive skewness has long right tails.

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A distribution that has positive excess kurtosis is: A) more peaked than a normal distribution. B) more skewed than a normal distribution. C) less peaked than a normal distribution. A distribution with positive excess kurtosis is one that is more peaked than a normal distribution.

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A distribution that is more peaked than normal is:

A) leptokurtic.

B) skewed.

C) platykurtic.

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A distribution that is more peaked than normal is leptokurtic. A distribution that is flatter than normal is platykurtic.

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A distribution that has positive excess kurtosis is:

A) more peaked than a normal distribution.

B) more skewed than a normal distribution.

C) less peaked than a normal distribution.

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A distribution with positive excess kurtosis is one that is more peaked than a normal distribution.

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Which of the following statements about skewness and kurtosis is least accurate?

A) Kurtosis is measured using deviations raised to the fourth power.

B) Positive values of kurtosis indicate a distribution that has fat tails.

C) Values of relative skewness in excess of 0.5 in absolute value indicate large levels of skewness.

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Positive values of kurtosis do not indicate a distribution that has fat tails. Positive values of excess kurtosis (kurtosis > 3) indicate fat tails.

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Which of the following statements concerning kurtosis is least accurate?

A) A leptokurtic distribution has excess kurtosis less than zero.

B) A distribution that is more peaked than a normal distribution is leptokurtic.

C) A leptokurtic distribution has fatter tails than a normal distribution.

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A leptokurtic distribution is more peaked than normal and has fatter tails. However, the excess kurtosis is greater than zero.

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Which of the following statements about kurtosis is least accurate? Kurtosis:

A) measures the peakedness of a distribution reflecting a greater or lesser concentration of returns around the mean.

B) is used to reflect the probability of extreme outcomes for a return distribution.

C) describes the degree to which a distribution is not symmetric about its mean.

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The degree to which a distribution is not symmetric about its mean is measured by skewness. Excess kurtosis which is measured relative to a normal distribution, indicates the peakedness of a distribution, and also reflects the probability of extreme outcomes.

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Which of the following statements concerning a distribution with positive skewness and positive excess kurtosis is least accurate?

A) The mean will be greater than the mode.

B) It has a lower percentage of small deviations from the mean than a normal distribution.

C) It has fatter tails than a normal distribution.

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A distribution with positive excess kurtosis has a higher percentage of small deviations from the mean than normal. So it is more “peaked” than a normal distribution. A distribution with positive skew has a mean > mode.

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A distribution of returns that has a greater percentage of small deviations from the mean and a greater percentage of large deviations from the mean compared to a normal distribution:

A) has positive excess kurtosis.

B) is positively skewed.

C) has negative excess kurtosis.

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A distribution that has a greater percentage of small deviations from the mean and a greater percentage of large deviations from the mean will be leptokurtic and will exhibit positive excess kurtosis. The distribution will be taller (more peaked) with fatter tails than a normal distribution.