Data Analysis Final Exam,数据分析考试题.docxVIP

ISOM 5510 Data Analysis (Fall 2015) Final Exam Instructions: (i) Fill in your information, especially your student ID with corresponding bubbles shaded, on the MC answer sheet. (ii) This examination consists of 35 Multiple Choice questions of equal weight. (iii) Choose the best answer of each question, and mark it clearly on your MC answer sheet. (iv) The deadline for the examination is 28thDecember, 2015 01:00pm. Please send both the question paper and the MC answer sheet to the office. (v) There must be no communication with anyone else in regards to contents or solutions for this examination. To emphasize the seriousness of this, the following statement needs to be signed. Statement of Integrity: I have neither given nor received any unauthorized aid during this examination. The answers submitted are my own work. I understand the sanctions imposed, if I am found to have violated the University’s regulati academic integrity. (Signature) Name: Student ID: 1 Mini Case I. An important question about the CAPM is whether beta changes over time. To address this question, a new dummy variable called Period was created. Period has the value “Early” for days during 1985-1999, and is equal to “Late” for days during 2000-2003. (i.e. Period[Early] = 1 for days in 1985-1999, or 0 for days in 2000-2003). A multiple regression that uses Period produces the following summary. RSquare RMSE 0.226936 0.015314 Indicator Function Parameterization Term Intercept Excess VW Period[Early] Period[Early]*Excess VW Estimate -0.000153 0.4366381 0.0002999 0.5986955 Std Error 0.000484 0.034809 0.000544 0.045529 t Ratio -0.32 12.54 0.55 Prob|t| 0.7517 .0001* 0.5816 13.15 .0001* 1. The above multiple regression estimates beta in the late period to be, approximately, A. 0.437 B. -0.000153 C. 1.035 D. 0.599 E. 0.642 The next two questions refer to the following additional information on top of the above. Consider the CAPM where r[Early] is the cost of capital for the Early period and r[Late] is th