謝同學(xué)
2022-11-19 23:13基礎(chǔ)課的module4，PPT78頁(yè)的example3，Another MD joins the interview and mentions that an analyst on her team estimated a regression to explain a cross-section of returns on assets of companies using a regulation dummy variable (REG = 1 if regulated, 0 otherwise), market share (MKTSH), and an interaction term, REG_MKTSH, the product of REG and MKTSH. She notes the resulting model is RET = 0.50 – 0.5REG + 0.4MKTSH – 0.2REG_MKTSH。完全沒看懂，這道題老師也沒有講。我懷疑題目中的interaction term應(yīng)該是REG_MKTSH應(yīng)該是REG乘以MKTSH，但還是不能理解C選項(xiàng)為何正確。
所屬：CFA Level II > Quantitative Methods 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Essie助教
2022-11-21 16:31
該回答已被題主采納
你好，這道題目的C選項(xiàng)說錯(cuò)了，應(yīng)該是“For each increase in market share, a regulated firm has a 0.7 lower return on assets than a non-regulated firm.”而不是選項(xiàng)中原本說的0.3。
REG_MKTSH是REG和MKTSH的交互項(xiàng)這一點(diǎn)沒錯(cuò)。
對(duì)于regulated firm，會(huì)有-0.5和-0.2這兩項(xiàng)，斜率加總為-0.7。而non-regulated firm，就沒有這兩項(xiàng)，所以regulated比non-regulated firm低了0.7.
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