習(xí)題：
　　Exercise:
　　Richard Starr is assigned the task of examining the relevance of the capital asset pricing model by running hypothesis tests on the risk-free rate and the market risk premium. Starr’s supervisor makes the following statement: “For the CAPM to be valid, the mean 1-year Treasury bill rate should equal 4% and the mean market risk premium should be positive.” To examine the claims of his supervisor, identify whether Starr should perform one-tailed or two-tailed tests of these hypotheses.
　　Risk-free rate    Market risk premium
　　A    One-tailed          One-tailed
　　B    One-tailed          Two-tailed
　　C    Two-tailed          One-tailed
　　D    Two-tailed          Two-tailed
　　解析：
　　Answer: C
　　Explanation: Starr’s supervisor states that “the mean 1-year Treasury bill rate should equal 4%”. This does not state a direction. Similarly, the statement of market risk premium state a direction.
　　知識(shí)點(diǎn)：
　　One-Sided and Two-Sided Hypothesis
　　One-tailed test is used when the alternative hypothesis states a direction, such as H1: μ > 0. Here the rejection region is only in one tail.
　　Two-tailed test is used when the alternative hypothesis does not state a direction, such as H1: μ ≠ 0. In this occasion, there is a region of rejection in each tail.
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