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Falcon · 2019年12月02日

问一道题：NO.PZ2015120204000027

  1. CFA II
  2. Quantitative

问题如下：

Epstein asks Litvenko whether it is possible to identify companies that are likely tooutperform the market in the next period rather than just trying to predict the returnfor a company.The most appropriate way to address the outperformance issue discussed byEpstein and Litvenko is to:

选项：

A.

use a probit model.

B.

add a dummy variable to the regression.

C.

replace one or more of the independent variables with its logarithmictransformation.

解释：

A is correct. A probit model is appropriate for a binary decision, such as whether a securityis likely to outperform the market or not.

B is incorrect. A dummy variable is a qualitative independent variable. A model toclassify outcomes as binary requires a qualitative dependent variable.

C is incorrect. A logarithmic transformation of an independent variable is appropriatewhen its relationship with the dependent variable is non-linear, but it will not changethe form of the dependent variable to binary (outperforms or does not).


没看懂这道题是什么意思，为什么选A

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1 个答案

星星_品职助教 · 2019年12月02日

同学你好，

这道题的Y变量并不是一个连续的结果，而是只有两种可能：outperform或者underperform。Y本身就是一个dummy variable，可以把两个可能的取值分别赋予0和1。对于这种Y只有两个取值的情况，可以用probit或者logit的模型来估计。基本上对这两个模型的掌握也就是要求会定性判断即可。

如果Y是一个连续的结果，例如是个return，就是正常的多元回归模型了。加油。

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2021-07-26 18:07 1 · 回答

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2020-06-28 21:45 2 · 回答

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2020-04-20 17:51 1 · 回答

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