習(xí)題：
　　Exercise:
　　A regression of a stock’s return (in percent) on an industry index’s return (in percent) provides the following results:
 
 

Coefficient

Standard Error

Intercept

2.1

2.01

Industry Index

1.9

0.31

 

Degrees of Freedom

SS

Explained

1

92.648

Residual

3

24.512

Total

4

117.160


 
　　Which of the following statements regarding the regression is incorrect?
　　A     The correlation coefficient between the X and Y variables is 0.889.
　　B     The industry index coefficient is significant at the 99% confidence interval.
　　C     If the return on the industry index is 4%, the stock’s expected return is 9.7%.
　　D     The variability of industry returns explains 21% of the variation of company returns.
　　解析：
　　Answer: D
　　Explanation:
 

　　　　The variability of industry returns explains 79% of the variation of company.


 

　　知識點：
　　Hypothesis Testing
　　To test whether an independent variable explains the variation in the dependent variable (i.e., it is statistically significant), the hypothesis that is tested is whether the true slope is zero (β1 = 0).
　　The appropriate test structure for the null and alternative hypotheses is:

H0: β1 = 0 versus H1: β1 ≠ 0

        FRM考試在線高清視頻指導(dǎo)