CFA二级练习题精选及答案0516-7

1、CFA二级练习题精选及答案 0516-7StudySession 3- Quantitative Methods1(7) Q=6JorgeReyes Case ScenarioJorge Reyes is a financial analyst withValores de Playa SA deCV, located in a suburb of Mexico City, Mexico. Twonights a week, he works as an adjunct professor at a local technical institute,lecturing in investme

2、nts and serving as a consultant in statistics and relatedfields.During a lecture on modern portfolio theory(MPT), Reyes points out the role that reqression plays in estimating theparameters of the capital asset pricing model (CAPM), As an exercise, Reyespresents the results of a regression of retums

3、 (R) on the company that owns theMercican stock exchange (ticker symbal BOLSAA.MX) against theU.S.dallar-Mexican peso exchange rate ( Er).The data cover the period from late 2011 through early 2012.Thereare 6413daily observations in the study. Exhibit l reports the results oftheregression.One of the

4、 students asks Reyes about theAdjusted R2reported in Exhibit l. Reyes explains thattheadjusted R2removes the effects cf serial correlation in thedata.A second student recalls that thepresenceofheteroskedasticity affects interpretation of thetest statisticscomputed bya regression. Reyes confirms that

5、 that is true andsuggests the studentsexamine a plot of the predicted BOLSAAreturn values versus their actualvalues.Exihibit 2 providessuch a graph,Interpreting the graph, Reyes states:Thepresence of heteroskedasticity isindicated whenthere isa systematic relationshipbetweenthe values ofresidualsand

6、 the independent variable. Itis difficultto seesuch asystematic relationship in Exhibit 2.Thereforeheteroskedasticitydoes not appear to be a problem in this regression. In a ater exercise, Reyes asks his studentsto consider a time series of 622 weekly prices of Maya 22 crude oil. Asubstantial propor

7、tion of Mexicos oil production is Mziya 22 heavy crude.Theperiod of the study is from January 1997 throughDtcember 2008.Reyes starts the analysis by looking at achart of the time series (not shown). Reyes points out several key features ofthe chart.u First, the prices exhibit an exponentialtrend in

8、the price increasesleading up to 2008.u Second,price behavior in the last few months of 2008 is significantlydifferent from price behavior leading to the market top.Reyes asks the students to model the timeseries for the periodJanuary 3, 1997, through July 18, 2008, when prices hitthehigh value of U

9、SD126.58. At Reyes suggestion, the students first model theprices as an exponential trend (long -Iinear model). They test for correlatederrors from the model using the Durbin -Watson statistic. The results arereported in Exhibit3.Reyes next suggests theyuse a first -orderautoregressivemodel AR(l). T

10、o reducethe impact of the exponentialtrend,the students continueto use the natural logarithms ofthe prices, but now theyalso take the first differences of theselogarithms of the prices (xt)They fit a first -order autoregressivmodel (AR(l) to the differences of logs.The results of theregression are r

11、eported in Exhibit 4.As nonstationarity or heteroskedasticitywouldnegativelyimpact use of the AR(1) model, Reyes asks thestudentstotestfor the presence of each. Results of the unitroot testofofnonstationarity andof a test for the presece heteroskedasticity are reported in Exhibit 5.Question7theregre

12、ssion of the retuns of BOLSAA.MX on the USD:MXNexchange rate (Exhibit l),the coefficient of the USD:MXNexchange rate is most occurotely described as:A.signifiontly different fromzero.B.not significantly differentfrom zero.C.indeterminate, asinsufficient informatian is providedin Exhibitl.Question8Re

13、yesexplanation regarding Adjusted R2 is best characttrizedas:A.correctB.incorrect because Adjuted R2is a means ofcompensating for heteroskedasticity in the independentC.variables.incorrect because Adjusted R2reflects the loss ofdegrees of freedom when additionali ndependentvariables are added to a r

14、egression.Question9Reyesinterpretation of the graph in Exhibrt 2 is best describedas:A.correctB.are,ina regressian such as this one, hidden bythe negativeincorrect because theeffects of heteroskedasticityC.slope of the regressian line.incorrect becauseheteroskedasticity is indicatedwhen there is not

15、 a systematic relationshipbetween the residuals and the independent variable.Question10TheDurb -Watson testreported in Exihit 3 is must acuratelyinterpreted asindicating that the correlation in the errors is:A.insignificant.B.significantly positive.C.significantly negative.Question11Based onthe regr

16、ession results reported in Exhibit 4,themean-reverting level of thedifferences of logarithms of theMaya 22 prices(i.e,the timeseries as modeledin the AR(1)model)is closest ：A.0.00239.B.0.00311.C.0.30812.Question12Bared onthe results reportedin Exhibit 5,the AR(1) model isbest described as havingA.a

17、unit root.B.C.reliable standard errors.heteroslcedasticity in theerror term variance答案解析：7. Correct answer ： ACorrelation and Regression,Richard A. DeFusco, CFA, DennisW. McLeavey. CFA. Jerald E. Pinto, CFA, andDavid E. Runkle.CFA 2013 Modular Level ll. Vol.1. Reading 11, Section 3.5.Equation 10Stud

18、y Sessian 3-11-gFormulate a null and alternative hypothesisabout a populatian value of a regression caefficenL and determine theappropriate test statistic and whether the null hypothesis is rejected at agiven level of significance.A is correct. A two -tailed t - test isappropriate to test if the bel

19、ow -2.00(the negative critical value for the two -tailed test), the coefficient differssignifIcantly from zero at the 5% level of significance.coefficient differs signiflcantlyfrom zero. Thetest statistic isthe estimate of the coefficient (-0.5789) divided by itsstandarderror (0.2221)-0.5789/0.22212

20、.61. Because -2.61 lies8. Correct answer:CMultiple Regression and Issues inRegression Analysis.Richard A. DeFusco. CFA, Dennis W. McLeavey. CFAJerald EPinto. CFA and David E. Runkle. CFA 2013 Modular Level II Vol. 1. Reading 12.Section 2.4Study Sesiion 3-12-fDistinguish between and interpret R2 anda

21、djusted R2 in multipleregression.C is correct. The acljusted R2reflects the loss of degrees of freedom when additianal independent variablesare added to a regression.lt does not remove the effects of serial correlatianin the data.9. Correct answer:AMultiple Regression and Issues inRegression Analysi

22、s,Richard A. DeFusco. CFA, Dennis W. McLeavey, CFAJerald E.Pinto. CFA. and Davicl E. Runkle.CFA 2013 Modular Level II, Vol. 1. Reading12Study Sessian 3-12-iSection 4.1andthe effects ofheteroskedasticityand serialcorrelationonstatisticalinference.A is correct. The presence ofheteroskedasticity isindi

23、catedwhen a systematic relationship exists betweentheresidualsand the independent variable.ltis difflcult tosee suchExplain the types of heteroskedastiatyExhibit 2. Therefore.to be a problem in thisasystematic relatronship in heteroskedasticity does notappear regression.10. Correct answer ： CMultipl

24、e Regression and Issues inRegression Anatysis,Richard A. DeFusco. CFA, Dennis W. McLeavey, CFAJerald EPinto. CFA. and David E Runkle. CFA 2013 Modular Level II, Vol.1. Reading12 Section 4.2.2,Fig. 3Time -Series Analysis,H Richard A, DeFusco,CFA Dennis VV.McLeavey, CFA, Jerald E, Pinta. CFA, and Davi

25、d E. Runkle, CFA 2013 Modular Level II. Vol. 1, Reading 13,Section 3.2Study Sessions 3-12-i. 3-13-bExplain the typesof heteroskedasticity andthe effectsofheteraskedasticityand serial correlationonstatisticalinference.Describe factorsthat determine whether alinear or log -linear trend should be used

26、with a particular time series.andevaluate the limitations of trend models.C is correct. Significantly large values ofthe Durbin -Watson statistic point to nagative serial correlation (see Footnote49.Sedion 4 2.2). Specifically. if the DW statistic exceeds 4 - dl.where dl is the lower critical value of the DW test. there