作者jackoyu (伟下列资料正确填写并回숩
看板Grad-ProbAsk
标题[商管] [统计]-逢甲97-统计与精算-回归
时间Mon Nov 23 11:24:07 2009
A certain risk-averse investor calculates the beta for a stock before
investing in the stock. By regressing the weekly percent returnof, say,
Stock A on the weekly percent return of the Standard and Poor's 500
index(S&P 500), the investor can determine the stock's beta, which is equal
to the slope of the regression line.
a) A slope greater than one indicates that the stock is more volatile than
S&P market index. Is there sufficient evidence to conclude that the
stock is more volatile than the S&P market index?
看不太懂在问什麽?是否可以帮忙解说一下,查了英文还是不知道说什麽?
是要检定 β=0 还是..... 谢谢!!
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※ 发信站: 批踢踢实业坊(ptt.cc)
◆ From: 140.122.140.126
1F:→ LITTLEN:β= 1 吧... 11/23 14:27
2F:→ LITTLEN:β> 1 吧... 11/23 14:28
3F:推 solaarr:Ho: beta <= 1 11/23 23:50