"quantity"exercise:Total probability rule
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Questions 1:
An analysis of US share prices determines that there is consistent underpricing by $0.02 with a p-value of 0.0012. Assuming an average transaction cost of $0.05, which statement is most accurate? The underpricing result is:
A、statistically significant and indicates a possible arbitrage opportunity.
B 、not economically meaningful.
C 、not statistically significant.
Questions 2:
The total probability rule is used when an analyst is interested in:
A、 all potential outcomes.
B 、a set of events.
C 、a single outcome.
B is correct. The underpricing result is not economically meaningful when the average transaction cost is taken into consideration.
A is incorrect. As explained in C, the result is statistically significant. However, there is no arbitrage opportunity in this case because the transaction cost is too high (i.e., not economically meaningful).
C is incorrect. The result should be statistically significant as a p-value of 0.0012 is the smallest level of significance that the null hypothesis is rejected. In this case, it is far less than level of significance of 0.01.
A is correct. When the scenarios (conditioning events) are mutually exclusive and exhaustive, no possible outcomes are left out, thereby covering all potential outcomes.
B is incorrect because a set of events does not necessarily cover all possible events and would be calculated using the multiplication rule
C is incorrect because a single outcome is an independent event
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