题目
As research analyst at his firm, Richard Starr is assigned the task of examining the relevance of the capital asset pricing model by running hypothesis tests on the risk-free rate and the market risk premium. Starr's supervisor makes the following statement: "For the CAPM to be valid, the mean 1-year Treasury bill rate should equal 4% and the mean market risk premium should be positive." Starr collects historical rate of return data for 1-year Treasury bills and for the annual market risk premiums over the past 30 years. He then conducts tests of hypotheses using the historical Treasury bill and market risk premium data. To examine the claims of his supervisor, identify whether Starr should perform one-tailed or two-tailed tests of these hypotheses. Risk-free rate hypothesis Market risk premium hypothesis
选项
A.One-tailed test\uff1bOne-tailed test
B.One-tailed test\uff1bTwo-tailed test
C.Two-tailed test\uff1bOne-tailed test
D.Two-tailed test\uff1bTwo-tailed test
答案
C
解析
Starr's supervisor states that "the mean 1-year Treasury bill rate should equal 4%" Therefore, the null hypothesis is: H0: mean Treasury bill rate equals 4%; and the alternative hypothesis is Ha: mean Treasury bill rate does not equal 4%, which is a two-tailed test. Starr's supervisor also states that "the mean market risk premium should be positive." Therefore, the null hypothesis is: H0: mean market risk premium is less than or equal to zero; and the alternative hypothesis is Ha: mean market risk premium is greater than zero, which is a one-tailed test. Starr的主管说“ 1年期美国国库券平均利率应等于4％”，因此零假设是：H0：平均国库券利率等于4％；另一种假设是Ha：平均国库券利率不等于4％，这是一个两尾检验。斯塔尔的主管还指出，“平均市场风险溢价应该为正。” 因此，零假设为：H0：平均市场风险溢价小于或等于零；另一个假设是Ha：平均市场风险溢价大于零，这是一个单尾检验。