Page 23 - FINAL CFA SLIDES DECEMBER 2018 DAY 4
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Example, p277/279: 2 vs 1-tailed test: A researcher has gathered data on the daily returns on a portfolio of call options
over a recent 250-day period. The mean daily return has been 0.1%, and the sample SD is 0.25%. The researcher believes
that the mean daily portfolio return is not equal to zero. Construct a hypothesis test of the researcher’s belief.
2TT, p277 1TT, p279
Same!
Test- Same!
stats
Since 6.33 > 1.96, the sample value is significantly Same!
different from the hypothesized value
Reject the Ho that the mean daily option return = 0.
Same!
The mean daily return of 0.001 is statistically
different from 0 given the sample’s standard Always same?
deviation and size. Statistics could be 1.78?
Why z, and not t?
