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An FF -Test with 10 Degrees of Freedom in the Numerator and Numerator

question 17

True/False

An FF -test with 10 degrees of freedom in the numerator and 5 degrees of freedom in the denominator produced a test statistic whose value was 10.0710.07 . The null and alternate hypotheses were H0:σ1=σ2H _ { 0 } : \sigma _ { 1 } = \sigma _ { 2 } versus H1:σ1<σ2H _ { 1 } : \sigma _ { 1 } < \sigma _ { 2 } .
Do you reject H0H _ { 0 } at the α=0.01\alpha = 0.01 level?


Definitions:

Maturity

The time at which a financial instrument becomes due for payment.

Liquidity Premium (LP)

Additional return demanded by investors for holding securities with lower liquidity, compensating for the potential cost and difficulties in trading.

Maturity Risk Premium (MRP)

Additional return investors demand for holding longer-term securities, compensating for the risk of price fluctuations over time.

Real Risk-free Rate

The theoretical return on an investment with no risk of financial loss, adjusted for inflation.

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