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FRM一级每日一题【风险管理基础35-定量分析】假设检验

来源：高顿网校 2015-03-04

　　习题：

　　Exercise:

　　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.” To examine the claims of his supervisor, identify whether Starr should perform one-tailed or two-tailed tests of these hypotheses.

　　Risk-free rate Market risk premium

　　A One-tailed One-tailed

　　B One-tailed Two-tailed

　　C Two-tailed One-tailed

　　D Two-tailed Two-tailed

　　解析：

　　Answer: C

　　Explanation: Starr’s supervisor states that “the mean 1-year Treasury bill rate should equal 4%”. This does not state a direction. Similarly, the statement of market risk premium state a direction.

　　知识点：

　　One-Sided and Two-Sided Hypothesis

　　One-tailed test is used when the alternative hypothesis states a direction, such as H1: μ > 0. Here the rejection region is only in one tail.

　　Two-tailed test is used when the alternative hypothesis does not state a direction, such as H1: μ ≠ 0. In this occasion, there is a region of rejection in each tail.
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