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:
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A) |
null hypothesis can be rejected at the 5% significance level. | |
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B) |
best estimate of the mean excess return produced by the strategy is 3.4%. | |
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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. | 
发表于 2011-3-4 15:21
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