3. You collected 10 years of daily data. Based on that you find first trading day of each month 's average return is 50 bps. Mean return for all days is 4 bps. Stdev across all days is 100 bps. Stdev for first day ofeach month only is 125 bps.Q3a. What is the mean return for trading days other than first day of the month? Q3b. Take the difference in sample mean for first day vs. other days. This is your point estimate for the difference b/w two types of days. What is that point estimate? What is stdev for the point estimate? Q3c. What is the probability of observing the point estimate above under the null hypothesis that the true difference is zero (this is known as p-value)? Q3d. What is the 95% Confidence interval for the point estimate? At 95% confidence, should you reject or accept that first days’ mean return is not different from other days of the month?
3. You collected 10 years of daily data. Based on that you find first trading day of each month 's average return is 50 bps. Mean return for all days is 4 bps. Stdev across all days is 100 bps. Stdev for first day of
each month only is 125 bps.
Q3a. What is the mean return for trading days other than first day of the month?
Q3b. Take the difference in sample mean for first day vs. other days. This is your point estimate for the difference b/w two types of days. What is that point estimate? What is stdev for the point estimate?
Q3c. What is the probability of observing the point estimate above under the null hypothesis that the true difference is zero (this is known as p-value)?
Q3d. What is the 95% Confidence interval for the point estimate? At 95% confidence, should you reject or accept that first days’ mean return is not different from other days of the month?
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Hi! Thank you for the question, As per the honour code, we are allowed to answer three sub-parts at a time so we are answering the first three as you have not mentioned which of these you are looking for. Please re-submit the question separately for the remaining sub-parts.
Given:
Mean
For the First day
For all days
Standard Deviation
For the first day
For all days
(a)
The average return on sales days other than the first day of the month = 50 bps
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