计量金融学国外课堂课件4.pptVIP

* * * * * * * * ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 An Example of the Use of a Simple t-test to Test a Theory in Finance Testing for the presence and significance of abnormal returns (“Jensen’s alpha” - Jensen, 1968). The Data: Annual Returns on the portfolios of 115 mutual funds from 1945-1964. The model: for j = 1, …, 115 We are interested in the significance of ?j. The null hypothesis is H0: ?j = 0 . ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Frequency Distribution of t-ratios of Mutual Fund Alphas (gross of transactions costs) Source Jensen (1968). Reprinted with the permission of Blackwell publishers. ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Frequency Distribution of t-ratios of Mutual Fund Alphas (net of transactions costs) Source Jensen (1968). Reprinted with the permission of Blackwell publishers. ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Can UK Unit Trust Managers “Beat the Market”? We now perform a variant on Jensen’s test in the context of the UK market, considering monthly returns on 76 equity unit trusts. The data cover the period January 1979 – May 2000 (257 observations for each fund). Some summary statistics for the funds are: Mean Minimum Maximum Median Average monthly return, 1979-2000 1.0% 0.6% 1.4% 1.0% Standard deviation of returns over time 5.1% 4.3% 6.9% 5.0% Jensen Regression Results for UK Unit Trust Returns, January 1979-May 2000 ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Can UK Unit Trust Managers “Beat the Market”?: Results Estimates of Mean Minimum Maximum Median ? -0.02% -0.54% 0.33% -0.03% ? 0.91 0.56 1.09 0.91 t-ratio on ? -0.07 -2.44 3.11 -0.25 In fact, gross of transactions costs, 9 funds of the sam