题目
A factor analysis of the dividend-adjusted returns of ABC Ltd.'s stock price was undertaken to determine which economic factors contributed to its performance. The regression was performed on 460 observations. The results are as follows:
「huixue_img/importSubject/1564169388226121728.png」
Which one of the following options correctly describes which variables are significant at the 5% level, and the R2statistic, respectively?significant Variables at the 5% level R2statistic
选项
A.Intercept; Industrial index;0.924834
B.Intercept; Industrial index;0.075166
C.All share index; Industrial Index ; 0.924834
D.All share index; Industrial Index;0.075166
答案
A
解析
The following table shows the test statistics for each of the four variables, calculated by dividing the variable coefficient by the standard error.The variable is significant if the absolute value of the t-test is greater than the critical value from the student’s t-distribution for 456 degrees of freedom (which is very close to the z-statistic since the number of observations is so high), i.e. 1.96.
「huixue_img/importSubject/1564169388268064768.png」「huixue_img/importSubject/1564169388301619200.png」