2021年投资学题库

Chapter11TheEfficientMarketHypothesis MultipleChoiceQuestions 1. Ifyoubelieveinthe________formoftheEMH，youbelievethatstockpricesreflectallrelevantinformationincludinghistoricalstockpricesandcurrentpublicinformationaboutthefirm，butnotinformationthatisavailableonlytoinsiders. A. Semistrong WhenMauriceKendallexaminedthepatternsofstockreturnsin1953heconcludedthatthestockmarketwas__________.Now，theserandompricemovementsarebelievedtobe_________. A. inefficient；theeffectofawell-functioningmarket Thestockmarketfollowsa__________. B. Submartingale Ahybridstrategyisonewheretheinvestor D. maintainsapassivecoreandaugmentsthepositionwithanactivelymanagedportfolio. Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______. D. zero；positive6. Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______. D. zero；positive 7. ProponentsoftheEMHtypicallyadvocate B. investinginanindexfund.C. apassiveinvestmentstrategy.E. BandC ProponentsoftheEMHtypicallyadvocate C. apassiveinvestmentstrategy. Ifyoubelieveinthe_______formoftheEMH，youbelievethatstockpricesreflectallinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices，tradingvolumeorshortinterest. C. Weak Ifyoubelieveinthe_________formoftheEMH，youbelievethatstockpricesreflectallavailableinformation，includinginformationthatisavailableonlytoinsiders. B. strong 11. Ifyoubelieveinthereversaleffect，youshould C. buystocksthisperiodthatperformedpoorlylastperiod.12. __________focusmoreonpastpricemovementsofafirm'sstockthanontheunderlyingdeterminantsoffutureprofitability. D. Technicalanalysts13. _________abovewhichitisdifficultforthemarkettorise. B. Resistancelevelisavalue14. _________belowwhichitisdifficultforthemarkettofall. C. Supportlevelisavalue 15. ___________thereturnonastockbeyondwhatwouldbepredictedfrommarketmovementsalone. A. AnexcesseconomicreturnisC. AnabnormalreturnisE. AandC16. Thedebateoverwhethermarketsareefficientwillprobablyneverberesolvedbecauseof________. A. theluckyeventissue.B. themagnitudeissue.C. theselectionbiasissue.D. alloftheabove.17. Acommonstrategyforpassivemanagementis____________. A. creatinganindexfund 18. Arbel(1985)foundthat A. theJanuaryeffectwashighestforneglectedfirms.19. Researchershavefoundthatmostofthesmallfirmeffectoccurs D. inJanuary.20. Basu(1977，1983)foundthatfirmswithlowP/Eratios A. earnedhigheraveragereturnsthanfirmswithhighP/Eratios.21. Jaffe(1974)foundthatstockprices_________afterinsidersintensivelyboughtshares. C. increased22. Banz(1981)foundthat，onaverage，therisk-adjustedreturnsofsmallfirms A. werehigherthantherisk-adjustedreturnsoflargefirms.23. ProponentsoftheEMHthinktechnicalanalysts E. arewastingtheirtime.24. Studiesofpositiveearningssurpriseshaveshownthatthereis A. apositiveabnormalreturnonthedaypositiveearningssurprisesareannounced.B. apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.D. bothAandBaretrue. 25. Studiesofnegativeearningssurpriseshaveshownthatthereis A. anegativeabnormalreturnonthedaynegativeearningssurprisesareannounced.B. apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.D. bothAandBaretrue.26. Studiesofstockpricereactionstonewsarecalled B. eventstudies.27. OnNovember22，thestockpriceofWalmartwas$39.50andtheretailerstockindexwas600.30.OnNovember25，thestockpriceofWalmartwas$40.25andtheretailerstockindexwas605.20.ConsidertheratioofWalmarttotheretailerindexonNovember22andNovember25.Walmartis_______theretailindustryandtechnicalanalystswhofollowrelativestrengthwouldadvise_______thestock. A. outperforming，buying28. WorkbyAmihudandMendelson(1986,1991) A. arguesthatinvestorswilldemandarateofreturnpremiumtoinvestinlessliquidstocks.B. mayhelpexplainthesmallfirmeffect.C. mayberelatedtotheneglectedfirmeffect.E. A，B，andC.29. FamaandFrench(1992)foundthatthestocksoffirmswithinthehighestdecileofmarket/bookratioshadaveragemonthlyreturnsof_______whilethestocksoffirmswithinthelowestdecileofmarket/bookratioshadaveragemonthlyreturnsof________. C. lessthan1%，greaterthan1%30. Amarketdeclineof23%onadaywhenthereisnosignificantmacroeconomicevent______consistentwiththeEMHbecause________. D. wouldnotbe，itwasnotaclearresponsetomacroeconomicnews.31. Inanefficientmarket，__________. A. securitypricesreactquicklytonewinformationB. securitypricesareseldomfaraboveorbelowtheirjustifiedlevelsC. securityanalystswillnotenableinvestorstorealizesuperiorreturnsconsistentlyE. A，B，andC32. Theweakformoftheefficientmarkethypothesisassertsthat B. futurechangesinstockpricescannotbepredictedfrompastprices.C. technicianscannotexpecttooutperformthemarket.E. BandC Asupportlevelisthepricerangeatwhichatechnicalanalystwouldexpectthe C. demandforastocktoincreasesubstantially. Afindingthat_________wouldprovideevidenceagainstthesemistrongformoftheefficientmarkettheory. A. lowP/EstockstendtohavepositiveabnormalreturnsC. onecanconsistentlyoutperformthemarketbyadoptingthecontrarianapproachexemplifiedbythereversalsphenomenonE. AandC35. Theweakformoftheefficientmarkethypothesiscontradicts D. technicalanalysis，butissilentonthepossibilityofsuccessfulfundamentalanalysis.36. Twobasicassumptionsoftechnicalanalysisarethatsecuritypricesadjust C. graduallytonewinformationandmarketpricesaredeterminedbytheinteractionofsupplyanddemand. 37. Cumulativeabnormalreturns(CAR) A. areusedineventstudies.B. arebettermeasuresofsecurityreturnsduetofirm-specificeventsthanareabnormalreturns(AR).D. AandB.38. Studiesofmutualfundperformance A. indicatethatoneshouldnotrandomlyselectamutualfund.B. indicatethathistoricalperformanceisnotnecessarilyindicativeoffutureperformance.D. AandB. 39. Thelikelihoodofaninvestmentnewsletter'ssuccessfullypredictingthedirectionofthemarketforthreeconsecutiveyearsbychanceshouldbe C. between10%and25%.40. Inanefficientmarketthecorrelationcoefficientbetweenstockreturnsfortwonon-overlappingtimeperiodsshouldbe C. zero.41. TheweatherreportsaysthatadevastatingandunexpectedfreezeisexpectedtohitFloridatonight，duringthepeakofthecitrusharvest.InanefficientmarketonewouldexpectthepriceofFloridaOrange'sstockto A. dropimmediately.42. MatthewsCorporationhasabetaof1.2.Theannualizedmarketreturnyesterdaywas13%，andtherisk-freerateiscurrently5%.YouobservethatMatthewshadanannualizedreturnyesterdayof17%.Assumingthatmarketsareefficient，thissuggeststhat B. goodnewsaboutMatthewswasannouncedyesterday.43. NicholasManufacturingjustannouncedyesterdaythatits4thquarterearningswillbe10%higherthanlastyear's4thquarter.YouobservethatNicholashadanabnormalreturnof-1.2%yesterday.Thissuggeststhat C. investorsexpectedtheearningsincreasetobelargerthanwhatwasactuallyannounced.44. WhenMauriceKendallfirstexaminedstockpricepatternsin1953，hefoundthat B. therewerenopredictablepatternsinstockprices.45. Ifstockpricesfollowarandomwalk D. pricechangesarerandom.46. Themaindifferencebetweenthethreeformsofmarketefficiencyisthat D. thedefinitionofinformationdiffers.47. Chartistspractice A. technicalanalysis.48. Whichofthefollowingareusedbyfundamentalanalyststodetermineproperstockprices?I)trendlinesII)earningsIII)dividendprospectsIV)expectationsoffutureinterestratesV)resistancelevels C. II，III，andIV 49. Accordingtoproponentsoftheefficientmarkethypothesis，thebeststrategyforasmallinvestorwithaportfolioworth$40,000isprobablyto E. investinmutualfunds.50. Whichofthefollowingareinvestmentsuperstarswhohaveconsistentlyshownsuperiorperformance?I)WarrenBuffetII)PhoebeBuffetIII)PeterLynchIV)MerrillLynchV)JimmyBuffet C. IandIII51. Googlehasabetaof1.0.Theannualizedmarketreturnyesterdaywas11%，andtherisk-freerateiscurrently5%.YouobservethatGooglehadanannualizedreturnyesterdayof14%.Assumingthatmarketsareefficient，thissuggeststhat B. goodnewsaboutGooglewasannouncedyesterday.52. MusicDoctorshasabetaof2.25.Theannualizedmarketreturnyesterdaywas12%，andtherisk-freerateiscurrently4%.YouobservethatMusicDoctorshadanannualizedreturnyesterdayof15%.Assumingthatmarketsareefficient，thissuggeststhat A. badnewsaboutMusicDoctorswasannouncedyesterday.53. QQAGhasabetaof1.7.Theannualizedmarketreturnyesterdaywas13%，andtherisk-freerateiscurrently3%.YouobservethatQQAGhadanannualizedreturnyesterdayof20%.Assumingthatmarketsareefficient，thissuggeststhat C. nosignificantnewsaboutQQAGwasannouncedyesterday.54. QQAGjustannouncedyesterdaythatits4thquarterearningswillbe35%higherthanlastyear's4thquarter.YouobservethatQQAGhadanabnormalreturnof-1.7%yesterday.Thissuggeststhat C. investorsexpectedtheearningsincreasetobelargerthanwhatwasactuallyannounced.55. LJPCorporationjustannouncedyesterdaythatitwouldundertakeaninternationaljointventure.YouobservethatLJPhadanabnormalreturnof3%yesterday.Thissuggeststhat D. investorsviewtheinternationaljointventureasgoodnews. 56. MusicDoctorsjustannouncedyesterdaythatits1stquartersaleswere35%higherthanlastyear's1stquarter.YouobservethatMusicDoctorshadanabnormalreturnof-2%yesterday.Thissuggeststhat C. investorsexpectedthesalesincreasetobelargerthanwhatwasactuallyannounced.57. TheFoodandDrugAdministration(FDA)justannouncedyesterdaythattheywouldapproveanewcancer-fightingdrugfromKing.YouobservethatKinghadanabnormalreturnof0%yesterday.Thissuggeststhat D. theapprovalwasalreadyanticipatedbythemarket58. Yourprofessorfindsastock-tradingrulethatgeneratesexcessrisk-adjustedreturns.Insteadofpublishingtheresults，shekeepsthetradingruletoherself.Thisismostcloselyassociatedwith________. B. selectionbias59. Atfreshmanorientation，1,500studentsareaskedtoflipacoin20times.Onestudentiscrownedthewinner(tossed20heads).Thisismostcloselyassociatedwith________. D. theluckyeventissue 60. Sehun(1986)findsthatthepracticeofmonitoringinsidertradedisclosures，andtradingonthatinformation，wouldbe________. E. notsufficientlyprofitabletocovertradingcosts61. Ifyoubelieveinthereversaleffect，youshould C. sellstocksthisperiodthatperformedwelllastperiod.62. PatellandWoflson(1984)reportthatmostofthestockpriceresponsetocorporatedividendorearningsannouncementsoccurswithin____________oftheannouncement. C. 2hours ShortAnswerQuestions 63. Discussthevariousformsofmarketefficiency.Includeinyourdiscussiontheinformationsetsinvolvedineachformandtherelationshipsacrossinformationsetsandacrossformsofmarketefficiency.Alsodiscusstheimplicationsforthevariousformsofmarketefficiencyforthevarioustypesofsecurities'analysts. Theweakformoftheefficientmarketshypothesis(EMH)statesthatstockpricesimmediatelyreflectmarketdata.Marketdatareferstostockpricesandtradingvolume.Techniciansattempttopredictfuturestockpricesbasedonhistoricstockpricemovements.Thus，iftheweakformoftheEMHholds，theworkofthetechnicianisofnovalue.ThesemistrongformoftheEMHstatesthatstockpricesincludeallpublicinformation.Thispublicinformationincludesmarketdataandallotherpubliclyavailableinformation，suchasfinancialstatements，andallinformationreportedinthepressrelevanttothefirm.Thus，marketinformationisasubsetofallpublicinformation.Asaresult，ifthesemistrongformoftheEMHholds，theweakformmustholdalso.Ifthesemistrongformholds，thenthefundamentalist，whoattemptstoidentifyundervaluedsecuritiesbyanalyzingpublicinformation，isunlikelytodosoconsistentlyovertime.Infact，theworkofthefundamentalistmaymakethemarketsevenmoreefficient!ThestrongformoftheEMHstatesthatallinformation(publicandprivate)isimmediatelyreflectedinstockprices.Publicinformationisasubsetofallinformation，thusifthestrongformoftheEMHholds，thesemistrongformmustholdalso.ThestrongformofEMHstatesthatevenwithinside(legalorillegal)information，onecannotexpecttooutperformthemarketconsistentlyovertime.Studieshaveshowntheweakformtohold，whentransactionscostsareconsidered.Studieshaveshownthesemistrongformtoholdingeneral，althoughsomeanomalieshavebeenobserved.Studieshaveshownthatsomeinsiders(specialists，majorshareholders，majorcorporateofficers)dooutperformthemarket.Feedback：ThepurposeofthisquestionistoassurethatthestudentunderstandstheinterrelationshipsacrossdifferentformsoftheEMH，acrosstheinformationsets，andtheimplicationsofeachformfordifferenttypesofanalysts.64. Whatisaneventstudy?Itisatestofwhatformofmarketefficiency?Discusstheprocessofconductinganeventstudy，includingthebestvariable(s)toobserveastestsofmarketefficiency. Aeventstudyisanempiricaltestwhichallowstheresearchertoassesstheimpactofaparticulareventonafirm'sstockprice.Todoso，oneoftenusestheindexmodelandestimateset，theresidualtermwhichmeasuresthefirm-specificcomponentofthestock'sreturn.Thisvariableisthedifferencebetweenthereturnthestockwouldordinarilyearnforagivenlevelofmarketperformanceandtheactualrateofreturnonthestock.Thismeasureisoftenreferredtoastheabnormalreturnofthestock.However，itisverydifficulttoidentifytheexactpointintimethataneventbecomespublicinformation；thus，thebettermeasureisthecumulativeabnormalreturn，whichisthesumofabnormalreturnsoveraperiodoftime(awindowaroundtheeventdate).Thistechniquemaybeusedtostudytheeffectofanypubliceventonafirm'sstockprice；thus，thistechniqueisatestofthesemistrongformoftheEMH.Feedback：Therationaleforthisquestionistoascertainifthestudentunderstandsthemethodologymostcommonlyusedasatestofthesemistrongformofmarketefficiency. 65. Discussthesmallfirmeffect，theneglectedfirmeffect，andtheJanuaryeffect，thetaxeffectandhowthefoureffectsmayberelated. Studieshaveshownthatsmallfirmsearnarisk-adjustedrateofreturngreaterthanthatoflargerfirms.Additionalstudieshaveshownthatfirmsthatarenotfollowedbyanalysts(neglectedfirms)alsohavearisk-adjustedreturngreaterthanthatoflargerfirms.However，theneglectedfirmstendtobesmallfirms；thus，theneglectedfirmeffectmaybeamanifestationofthesmallfirmeffect.Finally，studieshaveshownthatreturnsinJanuarytendtobehigherthaninothermonthsoftheyear.Thiseffecthasbeenshowntopersistconsistentlyovertheyears.However，theJanuaryeffectmaybethetaxeffect，asinvestorsmayhavesoldstockswithlossesinDecemberfortaxpurposesandreinvestedinJanuary.Smallfirms(andneglectedfirms)wouldtendtobemoreaffectedbythisincreasedbuyingthanlargerfirms，assmallfirmstendtosellforlowerprices.Feedback：Thepurposeofthisquestionistoreinforcetheinterrelationships，that"effects"maynotalwaysbeindependentandthusreadilyidentifiable.Alsotheseeffectsarewidelydiscussedinthefinancialpress，andtheJanuaryeffectappearstobequitepersistent.66. Whymightthedegreeofmarketefficiencydifferacrossvariousmarkets?Statethreereasonswhythismightoccurandexplaineachreasonbriefly. 1.Marketefficiencydependsoninformationbeingessentiallyfreeandcostlesstomarketparticipants.IntheU.S.marketsthisisthecasetoalargeextent.TheU.S.marketsarewelldevelopedandprofessionalanalystsoftenfollowsecurities.Informationisavailableontelevision，inthepress，andontheInternet.Theoppositemaybetrueinothermarkets，suchasthoseofdevelopingcountries，wheretherearefewerornoanalystsandfewmarketparticipantswiththeseresources.2.Accountingdisclosurerequirementsaredifferentacrossmarkets.IntheU.S.firmsmustmeetSECrequirementstobepubliclytraded.Inothercountriestherequirementsmaybedifferentornonexistent.Thishasimplicationsabouttheeasewithwhichanalystscanevaluatethecompanytodetermineitspropervalue.3.Marketsfor"neglected"stocksmaybelessefficientthanmarketsforstocksthatareheavilyfollowedbyanalysts.Ifanalystsfeelthatitisnotworthwhiletogivetheirattentiontoparticularstocksthenampleinformationaboutthesestockswillnotbereadilyavailabletoinvestors.Feedback：Thisquestionleadsthestudenttolookatsomeofthefundamentalreasonsformarketefficiencyandwhytheremaybedifferencesamongmarketswithregardtothereasons.Alternativeanswersarepossible.67. Withregardtomarketefficiency，whatismeantbytheterm"anomaly"?Givethreeexamplesofmarketanomaliesandexplainwhyeachisconsideredtobeananomaly. Anomaliesarepatternsthatshouldnotexistifthemarketistrulyefficient.Investorsmightbeabletomakeabnormalprofitsbyexploitingtheanomalies，whichdoesn'tmakesenseinanefficientmarket.Possibleexamplesinclude，butarenotlimitedto，thefollowing.thesmall-firmeffect-averageannualreturnsareconsistentlyhigherforsmall-firmportfolios，evenwhenadjustedforriskbyusingtheCAPM.2.theJanuaryeffect-thesmall-firmeffectoccursvirtuallyentirelyinJanuary.3.theneglected-firmeffect-smallfirmstendtobeignoredbylargeinstitutionaltradersandstockanalysts.Thislackofmonitoringmakesthemriskierandtheyearnhigherrisk-adjustedreturns.TheJanuaryeffectislargestforneglectedfirms.theliquidityeffect-investorsdemandareturnpremiumtoinvestinless-liquidstocks.Thisisrelatedtothesmall-firmeffectandtheneglected-firmeffect.Thesestockstendtoearnhighrisk-adjustedratesofreturn.5.book-to-marketratios-firmswiththehigherbook-to-market-valueratioshavehigherrisk-adjustedreturns，suggestingthattheyareunderpriced.Whencombinedwiththefirm-sizefactor，thisratioexplainedreturnsbetterthansystematicriskasmeasuredbybeta.thereversaleffect-stocksthathaveperformedbestintherecentpastseemtounderperformtherestofthemarketinthefollowingperiods，andviceversa.Otherstudiesindicatedthatthiseffectmightbeanillusion.Thesestudiesusedportfoliosformedmid-yearratherthaninDecemberandconsideredtheliquidityeffect.Investorsshouldnotbeabletoearnexcessreturnsbytakingadvantageofanyofthese.Themarketshouldadjustpricestotheirproperlevels.Butthesethingshavebeendocumentedtooccurrepeatedly.Feedback：Thisquestiontestswhetherthestudentgraspsthebasicconceptofanomaliesandallowssomechoiceinexplainingsomeofthem.