题目
An analyst tests the profitability of a trading strategy with the null hypothesis being that the average abnormal return before trading costs equals zero. The calculated t-statistic is 2.802, with critical values of ± 2.756 at significance level α = 0.01. After considering trading costs, the strategy’s return is near zero. The results are most likely:
选项
A.statistically but not economically significant.
B.economically but not statistically significant.
C.neither statistically nor economically significant.
答案
A
解析
： A is correct. The hypothesis is a two-tailed formulation. The t-statistic of 2.802 falls outside the critical rejection points of less than –2.756 and greater than 2.756, therefore the null hypothesis is rejected; the result is statistically significant. However, despite the statistical results, trying to profit on the strategy is not likely to be economically meaningful because the return is near zero after transaction costs ： A正确。 这个假设用到了双尾公式。2.802这个t统计量落在小于-2.756且大于2.756的关键拒绝点之外，因此拒绝原假设；结果具有统计学意义。然而，尽管有这些统计结果，试图从这一策略中获利在经济上不太可能有意义，因为扣除交易成本后，回报率接近于零。