Q1. Which of the following statements is least likely an example of a qualitative dependent variable? The:

A)     number of shares acquired through the exercise of executive stock options, explained by executive-specific and company-specific variables.

B)     probability of bankruptcy is explained by several company-specific financial ratios.

C)     likelihood that a company will divest itself of a subsidiary, explained by subsidiary and competition variables.

Q2. Which of the following is NOT a model that has a qualitative dependent variable?

A)     Logit.

B)     Discriminant analysis.

C)     Event study.

Q3. 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)   logit modeling.

Q4. 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)   There is no difference--a probit model is simply a special case of a dummy variable regression.

C)   Dummy variable regressions attempt to create an equation to classify items into one of two categories, while probit models estimate a probability.

答案和详解如下：

Q1. Which of the following statements is least likely an example of a qualitative dependent variable? The:

A)     number of shares acquired through the exercise of executive stock options, explained by executive-specific and company-specific variables.

B)     probability of bankruptcy is explained by several company-specific financial ratios.

C)     likelihood that a company will divest itself of a subsidiary, explained by subsidiary and competition variables.

Correct answer is A)

The number of shares is a continuous variable and is, therefore, not considered a qualitative dependent variable.

Q2. Which of the following is NOT a model that has a qualitative dependent variable?

A)     Logit.

B)     Discriminant analysis.

C)     Event study.

Correct answer is C)

An event study is the estimation of the abnormal returns--generally associated with an informational event—that take on quantitative values.

Q3. 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)   logit modeling.

Correct answer is C)

The only one of the possible answers that estimates a probability of a discrete outcome is logit modeling.

Q4. 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)   There is no difference--a probit model is simply a special case of a dummy variable regression.

C)   Dummy variable regressions attempt to create an equation to classify items into one of two categories, while probit models estimate a probability.

Correct answer is 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.

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