Answered: Using historical data, a hedge fund…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Using historical data, a hedge fund manager designs a test of whether abnormal returns are positive on average. The test results in a p-value of 3%. The manager can most appropriately: A. reject the hypothesis that abnormal returns are less than or equal to zero, using a 1% significance level. B. reject the hypothesis that abnormal returns are less than or equal to zero, using a 5% significance level. C. conclude that the strategy produces positive abnormal returns on average, using a 5% significance level.

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