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标题: 12: Multiple Regression and Issues in Regression Ana [打印本页]

作者: 土豆妮 时间: 2010-4-8 15:01 标题: [2010]Session 3:-Reading 12: Multiple Regression and Issues in Regression Ana

Session 3: Quantitative Methods: Quantitative
Methods for Valuation
Reading 12: Multiple Regression and Issues in Regression Analysis

LOS f: Formulate a multiple regression equation by using dummy variables to represent qualitative factors and interpret the coefficients and regression results.

The management of a large restaurant chain believes that revenue growth is dependent upon the month of the year. Using a standard 12 month calendar, how many dummy variables must be used in a regression model that will test whether revenue growth differs by month?

A)
11.

B)
13.

C)
12.

作者: 土豆妮 时间: 2010-4-8 15:02

A fund has changed managers twice during the past 10 years. An analyst wishes to measure whether either of the changes in managers has had an impact on performance. The analyst wishes to simultaneously measure the impact of risk on the fund’s return. R is the return on the fund, and M is the return on a market index. Which of the following regression equations can appropriately measure the desired impacts?

A)
R = a + bM + c₁D₁ + c₂D₂ + c₃D₃ + ε, where D₁ = 1 if the return is from the first manager, and D₂ = 1 if the return is from the second manager, and D₃ = 1 is the return is from the third manager.

B)
R = a + bM + c₁D₁ + c₂D₂ + ε, where D₁ = 1 if the return is from the first manager, and D₂ = 1 if the return is from the third manager.

C)
The desired impact cannot be measured.

作者: 土豆妮 时间: 2010-4-8 15:02

A fund has changed managers twice during the past 10 years. An analyst wishes to measure whether either of the changes in managers has had an impact on performance. The analyst wishes to simultaneously measure the impact of risk on the fund’s return. R is the return on the fund, and M is the return on a market index. Which of the following regression equations can appropriately measure the desired impacts?

A)
R = a + bM + c₁D₁ + c₂D₂ + c₃D₃ + ε, where D₁ = 1 if the return is from the first manager, and D₂ = 1 if the return is from the second manager, and D₃ = 1 is the return is from the third manager.

B)
R = a + bM + c₁D₁ + c₂D₂ + ε, where D₁ = 1 if the return is from the first manager, and D₂ = 1 if the return is from the third manager.

C)
The desired impact cannot be measured.

The effect needs to be measured by two distinct dummy variables. The use of three variables will cause collinearity, and the use of one dummy variable will not appropriately specify the manager impact.

作者: 土豆妮 时间: 2010-4-8 15:02

Jill Wentraub is an analyst with the retail industry. She is modeling a company’s sales over time and has noticed a quarterly seasonal pattern. If she includes dummy variables to represent the seasonality component of the sales she must use:

A)

one dummy variables.

B)

four dummy variables.

C)

three dummy variables.

作者: 土豆妮 时间: 2010-4-8 15:02

Jill Wentraub is an analyst with the retail industry. She is modeling a company’s sales over time and has noticed a quarterly seasonal pattern. If she includes dummy variables to represent the seasonality component of the sales she must use:

A)

one dummy variables.

B)

four dummy variables.

C)

three dummy variables.

Three. Always use one less dummy variable than the number of possibilities. For a seasonality that varies by quarters in the year, three dummy variables are needed.

作者: 土豆妮 时间: 2010-4-8 15:03

Consider the following model of earnings (EPS) regressed against dummy variables for the quarters:

EPS_t = α + β₁Q_1t + β₂Q_2t + β₃Q_3t

where:
EPS_t is a quarterly observation of earnings per share
Q_1t takes on a value of 1 if period t is the second quarter, 0 otherwise
Q_2t takes on a value of 1 if period t is the third quarter, 0 otherwise
Q_3t takes on a value of 1 if period t is the fourth quarter, 0 otherwise

Which of the following statements regarding this model is most accurate? The:

A)

EPS for the first quarter is represented by the residual.

B)

coefficient on each dummy tells us about the difference in earnings per share between the respective quarter and the one left out (first quarter in this case).

C)

significance of the coefficients cannot be interpreted in the case of dummy variables.

作者: 土豆妮 时间: 2010-4-8 15:03

Consider the following model of earnings (EPS) regressed against dummy variables for the quarters:

EPS_t = α + β₁Q_1t + β₂Q_2t + β₃Q_3t

where:
EPS_t is a quarterly observation of earnings per share
Q_1t takes on a value of 1 if period t is the second quarter, 0 otherwise
Q_2t takes on a value of 1 if period t is the third quarter, 0 otherwise
Q_3t takes on a value of 1 if period t is the fourth quarter, 0 otherwise

Which of the following statements regarding this model is most accurate? The:

A)

EPS for the first quarter is represented by the residual.

B)

coefficient on each dummy tells us about the difference in earnings per share between the respective quarter and the one left out (first quarter in this case).

C)

significance of the coefficients cannot be interpreted in the case of dummy variables.

The coefficients on the dummy variables indicate the difference in EPS for a given quarter, relative to the first quarter.

作者: 土豆妮 时间: 2010-4-8 15:03

An analyst wishes to test whether the stock returns of two portfolio managers provide different average returns. The analyst believes that the portfolio managers’ returns are related to other factors as well. Which of the following can provide a suitable test?

A)
Dummy variable regression.

B)
Paired-comparisons.

C)
Difference of means.

作者: 土豆妮 时间: 2010-4-8 15:03

An analyst wishes to test whether the stock returns of two portfolio managers provide different average returns. The analyst believes that the portfolio managers’ returns are related to other factors as well. Which of the following can provide a suitable test?

A)
Dummy variable regression.

B)
Paired-comparisons.

C)
Difference of means.

The difference of means and paired-comparisons tests will not account for the other factors.

作者: 土豆妮 时间: 2010-4-8 15:03

An analyst is trying to determine whether fund return performance is persistent. The analyst divides funds into three groups based on whether their return performance was in the top third (group 1), middle third (group 2), or bottom third (group 3) during the previous year. The manager then creates the following equation: R = a + b₁D₁ + b₂D₂ + b₃D₃ + ε, where R is return premium on the fund (the return minus the return on the S& 500 benchmark) and D_i is equal to 1 if the fund is in group i. Assuming no other information, this equation will suffer from:

A)
collinearity.

B)
heteroskedasticity.

C)
serial correlation.

作者: 土豆妮 时间: 2010-4-8 15:04

An analyst is trying to determine whether fund return performance is persistent. The analyst divides funds into three groups based on whether their return performance was in the top third (group 1), middle third (group 2), or bottom third (group 3) during the previous year. The manager then creates the following equation: R = a + b₁D₁ + b₂D₂ + b₃D₃ + ε, where R is return premium on the fund (the return minus the return on the S& 500 benchmark) and D_i is equal to 1 if the fund is in group i. Assuming no other information, this equation will suffer from:

A)
collinearity.

B)
heteroskedasticity.

C)
serial correlation.

There are too many dummy variables specified, so the equation will suffer from collinearity.

作者: 土豆妮 时间: 2010-4-8 15:04

Suppose the analyst wants to add a dummy variable for whether a person has an undergraduate college degree and a graduate degree. What is the correct representation if a person has both degrees?

Undergraduate Degree Graduate Degree

Dummy Variable Dummy Variable

A)

                    0                                 0

B)

                    1                                 1

C)

                    0                                 1

作者: 土豆妮 时间: 2010-4-8 15:04

Suppose the analyst wants to add a dummy variable for whether a person has an undergraduate college degree and a graduate degree. What is the correct representation if a person has both degrees?

Undergraduate Degree Graduate Degree

Dummy Variable Dummy Variable

A)

                    0                                 0

B)

                    1                                 1

C)

                    0                                 1

Assigning a zero to both categories is appropriate for someone with neither degree. Assigning one to the undergraduate category and zero to the graduate category is appropriate for someone with only an undergraduate degree. Assigning zero to the undergraduate category and one to the graduate category is appropriate for someone with only a graduate degree. Assigning a one to both categories is correct since it reflects the possession of both degrees.

作者: 土豆妮 时间: 2010-4-8 15:04

The amount of the State of Florida’s total revenue that is allocated to the education budget is believed to be dependent upon the total revenue for the year and the political party that controls the state legislature. Which of the following regression models is most appropriate for capturing the effect of the political party on the education budget? Assume Y_t is the amount of the education budget for Florida in year t, X is Florida’s total revenue in year t, and D_t = {1 if the legislature has a Democratic majority in year t, 0 otherwise}.

A)

Y_t = b₁D_t + b₂X_t + e_t._{> >}

B)

Y_t = b₀ + b₁D_t + b₂X_t + e_t.

C)

Y_t = b₀ + b₁D_t + e_t._{> >}

作者: 土豆妮 时间: 2010-4-8 15:04

The amount of the State of Florida’s total revenue that is allocated to the education budget is believed to be dependent upon the total revenue for the year and the political party that controls the state legislature. Which of the following regression models is most appropriate for capturing the effect of the political party on the education budget? Assume Y_t is the amount of the education budget for Florida in year t, X is Florida’s total revenue in year t, and D_t = {1 if the legislature has a Democratic majority in year t, 0 otherwise}.

A)

Y_t = b₁D_t + b₂X_t + e_t.

B)

Y_t = b₀ + b₁D_t + b₂X_t + e_t.

C)

Y_t = b₀ + b₁D_t + e_t.

In this application, b₀, b₁, and b₂ are estimated by regressing Y_t against a constant, D_t, and X_t. The estimated relationships for the two parties are:

Non-Democrats:	? = b₀ + b₂X_t
Democrats:	? = (b₀ + b₁) + b₂X_t

作者: maxsimax 时间: 2010-4-14 16:32

thanks

作者: luqian55 时间: 2010-5-30 06:07

thanks

作者: annyyu 时间: 2010-12-1 06:05

re

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