标题: Reading 12- LOS j: Q1-4 [打印本页]
作者: spaceedu 时间: 2008-4-12 16:52 标题: [2008] Session 3 - Reading 12- LOS j: Q1-4
1.What is the main difference between probit models and typical dummy variable models?
A) A dummy variable represents a qualitative independent variable, while a probit model is used for estimating the probability of a qualitative dependent variable.
B) A typical dummy variable model is based on the normal distribution, while a probit model is based on the lognormal distribution.
C) Dummy variable regressions attempt to create an equation to classify items into one of two categories, while probit models estimate a probability.
D) There is no difference--a probit model is simply a special case of a dummy variable regression.
2．A high-yield bond analyst is trying to develop an equation using financial ratios to estimate the probability of a company defaulting on its bonds. Since the analyst is using data over different economic time periods, there is concern about whether the variance is constant over time. A technique that can be used to develop this equation is:
A) multiple linear regression adjusting for heteroskedasticity.
B) dummy variable regression.
C) discriminant analysis.
D) logit modeling.
3．Which of the following is NOT a model that has a qualitative dependent variable?
A) Logit.
B) Probit.
C) Event study.
D) Discriminant analysis.
4.Which of the following statements is NOT an example of a qualitative dependent variable? The:
A) probability of bankruptcy is explained by several company-specific financial ratios.
B) likelihood of being acquired is explained by several company-specific financial ratios and economic variables.
C) likelihood that a company will divest itself of a subsidiary, explained by subsidiary and competition variables.
D) number of shares acquired through the exercise of executive stock options, explained by executive-specific and company-specific variables.
作者: spaceedu 时间: 2008-4-12 16:52
1.What is the main difference between probit models and typical dummy variable models?
A) A dummy variable represents a qualitative independent variable, while a probit model is used for estimating the probability of a qualitative dependent variable.
B) A typical dummy variable model is based on the normal distribution, while a probit model is based on the lognormal distribution.
C) Dummy variable regressions attempt to create an equation to classify items into one of two categories, while probit models estimate a probability.
D) There is no difference--a probit model is simply a special case of a dummy variable regression.
The correct answer was A)
Dummy variables are used to represent a qualitative independent variable. Probit models are used to estimate the probability of occurrence for a qualitative dependent variable.
2．A high-yield bond analyst is trying to develop an equation using financial ratios to estimate the probability of a company defaulting on its bonds. Since the analyst is using data over different economic time periods, there is concern about whether the variance is constant over time. A technique that can be used to develop this equation is:
A) multiple linear regression adjusting for heteroskedasticity.
B) dummy variable regression.
C) discriminant analysis.
D) logit modeling.
The correct answer was D)
The only one of the possible answers that estimates a probability of a discrete outcome is logit modeling.
3．Which of the following is NOT a model that has a qualitative dependent variable?
A) Logit.
B) Probit.
C) Event study.
D) Discriminant analysis.
The correct answer was C)
An event study is the estimation of the abnormal returns--generally associated with an informational event—that take on quantitative values.
4.Which of the following statements is NOT an example of a qualitative dependent variable? The:
A) probability of bankruptcy is explained by several company-specific financial ratios.
B) likelihood of being acquired is explained by several company-specific financial ratios and economic variables.
C) likelihood that a company will divest itself of a subsidiary, explained by subsidiary and competition variables.
D) number of shares acquired through the exercise of executive stock options, explained by executive-specific and company-specific variables.
The correct answer was D)
The number of shares is a continuous variable and is, therefore, not considered a qualitative dependent variable.
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) |
Powered by Discuz! 7.2 |