True or False Questions- CCAPM/ MATLAB

True/False Questions:

Please circle the correct answer. There will not be partial credits for these questions.

1. The CCAPM implies that assets whose pay-offs co-vary more negatively with the marginal utility of aggregate consumption should yield relatively lower expected excess returns.

T  F

2. The p-value of a test is the probability of rejecting the null hypothesis if the null hypothesis is true.

T   F

3. The following MATLAB command calculates the p-value of a test statistic (called “test”) which is distributed as a Chi-Squared random variable with 30 degrees of freedom: 2(1- chi2cdf(test,30)).

T   F

4. GMM estimators always have a larger variance than ML estimators for the same parameters. T F

5. Let rt,xt and zt be random variables. If E(rt|xt) = 0 for all t, then E(rt|xt,zt) = 0.

T  F

Multiple Choice questions:

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Long Problems:

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Question 3: