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PR OMAH – PERTEMUAN 4

8. Willco is a manufacturer in a mature cyclical industry. During the most recent industry cycle,
its net income averaged $30 million per year with a standard deviation of $10 million (n = 6
observations). Management claims that Willco's performance during the most recent cycle
results from new approaches and that we can dismiss profitability expectations based on its
average or normalized earnings of $24 million per year in prior cycles.
Dik : X̄ = $30 million per year; S = $10 million; n = 6 observations; μ = $24 million per year

a. With μ as the population value of mean annual net income, formulate null and alternative
hypotheses consistent with testing Willco management's claim.
H0: μ ≤ 24 versus Ha: μ > 24. Commented [u1]: Bingung bikin komen panjang yang kaya
di halaman 296

b. Assuming that Willco's net income is at least approximately normally distributed, identify
the appropriate test statistic.
Because the population variance is not known, so the appropriate test statistic is t (t-test)
with n − 1 = 6 − 1 = 5 degrees of freedom.

c. Identify the rejection point or points at the 0.05 level of significance for the hypothesis
tested in Part A.
The rejection point is found across the row for degrees of freedom of 5. To find the one-
tailed rejection point for a 0.05 significance level, we use the 0.05 column : The value is
2.015. To summarize, at a 0.05 significance level, we will reject the null if t > 2.015.

d. Determine whether or not to reject the null hypothesis at the 0.05 significance level.
Because 1.469694 less than 2.015,
we do not reject the null hypothesis Commented [u2]: Bingung bikin komen panjang yang kaya
di halaman 296

Contoh soal ada di halaman 295-296


(Example 2)


PR OMAH – PERTEMUAN 4
13. During a 10-year period, the standard deviation of annual returns on a portfolio you are
analyzing was 15 percent a year. You want to see whether this record is sufficient evidence to
support the conclusion that the portfolio's underlying variance of return was less than 400, the
return variance of the portfolio's benchmark.
Dik : n = 10 year; S = 15 %; σ = 400

a. Formulate null and alternative hypotheses consistent with the verbal description of your
objective.
We have a “less than” alternative hypothesis, where σ is the underlying standard
deviation of return on portfolio. Being careful to square standard deviation to obtain a test
in terms of variance, the hypotheses are H0: σ2 ≥ 400 versus Ha: σ2 < 400

b. Identify the test statistic for conducting a test of the hypotheses in Part A.
The test statistic is X2 with 10 - 1 = 9 degrees of freedom

c. Identify the rejection point or points at the 0.05 significance level for the hypothesis tested
in Part A.
The lower 0.05 rejection point is found on the line for df = 9, under the 0.95 column (95
percent probability in the right tail, to give 0.95 probability of getting a test statistic this
large or larger). The rejection point is 3.325. We will reject the null if we find that X2 is
less than 3.325.

d. Determine whether the null hypothesis is rejected or not rejected at the 0.05 level of
significance.

Because 5.06 (the calculated value of the test statistic) is not less than 3.325, we do not
reject the null hypothesis. We cannot conclude that the portfolio's underlying variance of
return was less than 400.

Contoh soal ada di halaman 309-310


(Example 7)


PR OMAH – PERTEMUAN 4
15. You are interested in whether excess risk-adjusted return (alpha) is correlated with mutual fund
expense ratios for US large-cap growth funds. The following table presents the sample.

Dik : n = 9

a. Formulate null and alternative hypotheses consistent with the verbal description of the
research goal.
The table above shows the row of X ranks converts the alpha to ranks and the row of Y
ranks converts the expense ratio to ranks. The hypotheses are H0: ρ = 0 versus Ha: ρ ≠ 0,
where ρ is defined as the population correlation of X and Y after rangking.

b. Identify the test statistic for conducting a test of the hypotheses in Part A.
The test statistic for conducting a test of the hypothesis in Part A is two-tailed test. The
table below performs The Spearman Rank Correlation to identify the test statistic :

Dik : n = 9 ; ∑ 𝑑𝑖2 = 119.5

c. Justify your selection in Part B.


Two-tailed test requires relatively large difference regardless of the direction of the
different such as the interest to determine whether excess risk-adjusted return (alpha) is
correlated with mutual fund expense ratios for US large-cap growth funds. from that, we
need to correlate between excess risk-adjusted return and mutual fund expense ratios
without provide the difference in the predicted direction. Commented [u3]: Bingung jawaban yang b sama c, jadi
gatau ini bener apa engga


PR OMAH – PERTEMUAN 4
d. Determine whether or not to reject the null hypothesis at the 0.05 level of significance.
We use two-tailed test with 0.05 level of significance to determine whether or not to reject
the null hypothesis. From the table of spearman rank correlation distribution approximate
upper-tail rejection points for n = 9 as 0.6833 (we use the 0.025 column for a two-tailed
test at a 0.05 significance level). Accordingly, we reject the null hypothesis if rs is less
than -0.6833 or greater than 0.6833. With rs equal to 0.0042, we do not reject the null Commented [u4]: Maksudnya negative 0.6833 (--0.6833)

hypothesis.

Contoh soal ada di halaman 315-317


“The Spearman Rank Correlation Coefficient”

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