投資管理(investment-management)第11章自測(cè)

Chapter11TheEfficientMarketHypothesis

MCQ

1.

Ifyoubelieveinthe________formoftheEMH,youbelievethatstockpricesreflectallrelevantinformationincludinghistoricalstockpricesandcurrentpublicinformationaboutthefirm,butnotinformationthatisavailableonlytoinsiders.

A.

semistrong

B.

strong

C.

weak

D.

A,B,andC

E.

noneoftheaboveThesemistrongformofEMHmaintainsthatstockpricesimmediatelyreflectallhistoricalandcurrentpublicinformation,butnotinsideinformation.

Difficulty:Easy

2.

WhenMauriceKendallexaminedthepatternsofstockreturnsin1953heconcludedthatthestockmarketwas__________.Now,theserandompricemovementsarebelievedtobe_________.

A.

inefficient;theeffectofawell-functioningmarket

B.

efficient;theeffectofaninefficientmarket

C.

inefficient;theeffectofaninefficientmarket

D.

efficient;theeffectofawell-functioningmarket

E.

irrational;evenmoreirrationalthanbeforeRandompricechangeswereoriginallythoughttobedrivenbyirrationality.Now,financialeconomistsbelieverandompricechangesoccurbecausemarketsareinformationallyefficient.

Difficulty:Easy

4.

Ahybridstrategyisonewheretheinvestor

A.

usesbothfundamentalandtechnicalanalysistoselectstocks.

B.

selectsthestocksofcompaniesthatspecializeinalternativefuels.

C.

selectssomeactively-managedmutualfundsontheirownandusesaninvestmentadvisortoselectotheractively-managedfunds.

D.

maintainsapassivecoreandaugmentsthepositionwithanactivelymanagedportfolio.

E.

noneoftheabove.Ahybridstrategyisonewheretheinvestormaintainsapassivecoreandaugmentsthepositionwithanactivelymanagedportfolio.

Difficulty:Easy

5.

Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______.

A.

positive;zero

B.

positive;positive

C.

positive;negative

D.

zero;positive

E.

zero;zeroArandomwalkhasanexpectedpricechangeofzeroandasubmartingalehasapositiveexpectedpricechange.

Difficulty:Easy

7.

ProponentsoftheEMHtypicallyadvocate

A.

anactivetradingstrategy.

B.

investinginanindexfund.

C.

apassiveinvestmentstrategy.

D.

AandB

E.

BandCBelieversofmarketefficiencyadvocatepassiveinvestmentstrategies,andaninvestmentinanindexfundisoneofthemostpracticalpassiveinvestmentstrategies,especiallyforsmallinvestors.

Difficulty:Easy

8.

ProponentsoftheEMHtypicallyadvocate

A.

buyingindividualstocksonmarginandtradingfrequently.

B.

investinginhedgefunds.

C.

apassiveinvestmentstrategy.

D.

AandB

E.

BandCBelieversofmarketefficiencyadvocatepassiveinvestmentstrategies,andaninvestmentinanindexfundisoneofthemostpracticalpassiveinvestmentstrategies,especiallyforsmallinvestors.

Difficulty:Easy

9.

Ifyoubelieveinthe_______formoftheEMH,youbelievethatstockpricesreflectallinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices,tradingvolumeorshortinterest.

A.

semistrong

B.

strong

C.

weak

D.

alloftheabove

E.

noneoftheaboveTheinformationdescribedaboveismarketdata,whichisthedatasetfortheweakformofmarketefficiency.Thesemistrongformincludestheaboveplusallotherpublicinformation.Thestrongformincludesallpublicandprivateinformation.

Difficulty:Easy

10.

Ifyoubelieveinthe_________formoftheEMH,youbelievethatstockpricesreflectallavailableinformation,includinginformationthatisavailableonlytoinsiders.

A.

semistrong

B.

strong

C.

weak

D.

alloftheabove

E.

noneoftheaboveThestrongformincludesallpublicandprivateinformation.

Difficulty:Easy

11.

Ifyoubelieveinthereversaleffect,youshould

A.

buybondsinthisperiodifyouheldstocksinthelastperiod.

B.

buystocksinthisperiodifyouheldbondsinthelastperiod.

C.

buystocksthisperiodthatperformedpoorlylastperiod.

D.

goshort.

E.

CandDThereversaleffectstatesthatstocksthatdowellinoneperiodtendtoperformpoorlyinthesubsequentperiod,andviceversa.

Difficulty:Easy

12.

__________focusmoreonpastpricemovementsofafirm'sstockthanontheunderlyingdeterminantsoffutureprofitability.

A.

Creditanalysts

B.

Fundamentalanalysts

C.

Systemsanalysts

D.

Technicalanalysts

E.

AlloftheaboveTechniciansattempttopredictfuturestockpricesbasedonhistoricalstockprices.

Difficulty:Easy

13.

_________abovewhichitisdifficultforthemarkettorise.

A.

Bookvalueisavalue

B.

Resistancelevelisavalue

C.

Supportlevelisavalue

D.

AandB

E.

AandCWhenstockpriceshaveremainedstableforalongperiod,thesepricesaretermedresistancelevels;techniciansbelieveitisdifficultforthestockpricestopenetratetheseresistancelevels.

Difficulty:Easy

14.

_________belowwhichitisdifficultforthemarkettofall.

A.

Intrinsicvalueisavalue

B.

Resistancelevelisavalue

C.

Supportlevelisavalue

D.

AandB

E.

BandCWhenstockpriceshaveremainedstableforalongperiod,thesepricesaretermedsupportlevels;techniciansbelieveitisdifficultforthestockpricestopenetratethesesupportlevels.

Difficulty:Easy

15.

___________thereturnonastockbeyondwhatwouldbepredictedfrommarketmovementsalone.

A.

Anexcesseconomicreturnis

B.

Aneconomicreturnis

C.

Anabnormalreturnis

D.

AandB

E.

AandCAneconomicreturnistheexpectedreturn,basedontheperceivedlevelofriskandmarketfactors.Whenreturnsexceedtheselevels,thereturnsarecalledabnormalorexcesseconomicreturns.

Difficulty:Easy

16.

Thedebateoverwhethermarketsareefficientwillprobablyneverberesolvedbecauseof________.

A.

theluckyeventissue.

B.

themagnitudeissue.

C.

theselectionbiasissue.

D.

alloftheabove.

E.

noneoftheabove.FactorsA,B,andCallexistmakerigidtestingofmarketefficiencydifficultorimpossible.

Difficulty:Easy

18.

Arbel(1985)foundthat

A.

theJanuaryeffectwashighestforneglectedfirms.

B.

thebook-to-marketvalueratioeffectwashighestinJanuary

C.

theliquidityeffectwashighestforsmallfirms.

D.

theneglectedfirmeffectwasindependentofthesmallfirmeffect.

E.

smallfirmshadhigherbook-to-marketvalueratios.Arbeldividedfirmsintohighlyresearched,moderatelyresearched,andneglectedgroupsbasedonthenumberofinstitutionsholdingthestock.

Difficulty:Moderate

20.

Basu(1977,1983)foundthatfirmswithlowP/Eratios

A.

earnedhigheraveragereturnsthanfirmswithhighP/Eratios.

B.

earnedthesameaveragereturnsasfirmswithhighP/Eratios.

C.

earnedloweraveragereturnsthanfirmswithhighP/Eratios.

D.

hadhigherdividendyieldsthanfirmswithhighP/Eratios.

E.

noneoftheabove.FirmswithhighP/EratiosalreadyhaveaninflatedpricerelativetoearningsandthustendtohavelowerreturnsthanlowP/Eratiostocks.However,theP/Eratiomaycapturerisknotfullyimpoundedinmarketbetassothismayrepresentanappropriateriskadjustmentratherthanamarketanomaly.

Difficulty:Moderate

21.

Jaffe(1974)foundthatstockprices_________afterinsidersintensivelyboughtshares.

A.

decreased

B.

didnotchange

C.

increased

D.

becameextremelyvolatile

E.

becamemuchlessvolatileInsidertradingmaysignalprivateinformation.

Difficulty:Moderate

22.

Banz(1981)foundthat,onaverage,therisk-adjustedreturnsofsmallfirms

A.

werehigherthantherisk-adjustedreturnsoflargefirms.

B.

werethesameastherisk-adjustedreturnsoflargefirms.

C.

werelowerthantherisk-adjustedreturnsoflargefirms.

D.

wereunrelatedtotherisk-adjustedreturnsoflargefirms.

E.

werenegative.BanzfoundAtobetrue,althoughsubsequentstudieshaveattemptedtoexplainthesmallfirmeffectastheJanuaryeffect,theneglectedfirmeffect,etc.

Difficulty:Moderate

24.

Studiesofpositiveearningssurpriseshaveshownthatthereis

A.

apositiveabnormalreturnonthedaypositiveearningssurprisesareannounced.

B.

apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.

C.

anegativedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.

D.

bothAandBaretrue.

E.

bothAandCaretrue.Themarketappearstoadjusttoearningsinformationgradually,resultinginasustainedperiodofabnormalreturns.

Difficulty:Moderate

25.

Studiesofnegativeearningssurpriseshaveshownthatthereis

A.

anegativeabnormalreturnonthedaynegativeearningssurprisesareannounced.

B.

apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.

C.

anegativedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.

D.

bothAandBaretrue.

E.

bothAandCaretrue.Themarketappearstoadjusttoearningsinformationgradually,resultinginasustainedperiodofabnormalreturns.

Difficulty:Moderate

26.

Studiesofstockpricereactionstonewsarecalled

A.

reactionstudies.

B.

eventstudies.

C.

driftstudies.

D.

bothAandDaretrue.

E.

bothBandDaretrue.Studiesofstockpricereactionstonewsarecalledeventstudies.

Difficulty:Moderate

27.

OnNovember22,2005thestockpriceofWalmartwas$39.50andtheretailerstockindexwas600.30.OnNovember25,2005thestockpriceofWalmartwas$40.25andtheretailerstockindexwas605.20.ConsidertheratioofWalmarttotheretailerindexonNovember22andNovember25.Walmartis_______theretailindustryandtechnicalanalystswhofollowrelativestrengthwouldadvise_______thestock.

A.

outperforming,buying

B.

outperforming,selling

C.

underperforming,buying

D.

underperforming,selling

E.

equallyperforming,neitherbuyingnorselling11/22:$39.50/600.30=0.0658;11/25:$40.25/605.20=0.0665;Thus,K-Mart'srelativestrengthisimprovingandtechniciansusingthistechniquewouldrecommendbuying.

Difficulty:Moderate

28.

WorkbyAmihudandMendelson(1986,1991)

A.

arguesthatinvestorswilldemandarateofreturnpremiumtoinvestinlessliquidstocks.

B.

mayhelpexplainthesmallfirmeffect.

C.

mayberelatedtotheneglectedfirmeffect.

D.

BandC.

E.

A,B,andC.Lackofliquiditymayaffectthereturnsofsmallandneglectedfirms;howeverthetheorydoesnotexplainwhytheabnormalreturnsareconcentratedinJanuary.

Difficulty:Moderate

9.

FamaandFrench(1992)foundthatthestocksoffirmswithinthehighestdecileofmarket/bookratioshadaveragemonthlyreturnsof_______whilethestocksoffirmswithinthelowestdecileofmarket/bookratioshadaveragemonthlyreturnsof________.

A.

greaterthan1%,greaterthan1%

B.

greaterthan1%,lessthan1%

C.

lessthan1%,greaterthan1%

D.

lessthan1%,lessthan1%

E.

lessthan0.5%,greaterthan0.5%Thisfindingsuggestseitherthatlowmarket-to-bookratiofirmsarerelativelyunderpriced,orthatthemarket-to-bookratioisservingasaproxyforariskfactorthataffectsexpectedequilibriumreturns.

Difficulty:Moderate

30.

Amarketdeclineof23%onadaywhenthereisnosignificantmacroeconomicevent______consistentwiththeEMHbecause________.

A.

wouldbe,itwasaclearresponsetomacroeconomicnews.

B.

wouldbe,itwasnotaclearresponsetomacroeconomicnews.

C.

wouldnotbe,itwasaclearresponsetomacroeconomicnews.

D.

wouldnotbe,itwasnotaclearresponsetomacroeconomicnews.

E.

noneoftheabove.ThishappenedonOctober19,1987.Althoughthisspecificeventisnotmentionedinthiseditionofthebook,itisanexampleofsomethingthatwouldbeconsideredaviolationoftheEMH.

Difficulty:Moderate

31.

Inanefficientmarket,__________.

A.

securitypricesreactquicklytonewinformation

B.

securitypricesareseldomfaraboveorbelowtheirjustifiedlevels

C.

securityanalystswillnotenableinvestorstorealizesuperiorreturnsconsistently

D.

onecannotmakemoney

E.

A,B,andCA,B,andCaretrue;however,eveninanefficientmarketoneshouldbeabletoearntheappropriaterisk-adjustedrateofreturn.

Difficulty:Easy

34.

Afindingthat_________wouldprovideevidenceagainstthesemistrongformoftheefficientmarkettheory.

A.

lowP/Estockstendtohavepositiveabnormalreturns

B.

trendanalysisisworthlessindeterminingstockprices

C.

onecanconsistentlyoutperformthemarketbyadoptingthecontrarianapproachexemplifiedbythereversalsphenomenon

D.

AandB

E.

AandCBothAandCareinconsistentwiththesemistrongformoftheEMH.

Difficulty:Moderate

35.

Theweakformoftheefficientmarkethypothesiscontradicts

A.

technicalanalysis,butsupportsfundamentalanalysisasvalid.

B.

fundamentalanalysis,butsupportstechnicalanalysisasvalid.

C.

bothfundamentalanalysisandtechnicalanalysis.

D.

technicalanalysis,butissilentonthepossibilityofsuccessfulfundamentalanalysis.

E.

noneoftheabove.Theprocessoffundamentalanalysismakesthemarketmoreefficient,andthustheworkofthefundamentalistmoredifficult.ThedatasetfortheweakformoftheEMHismarketdata,whichistheonlydatausedexclusivelybytechnicians.Fundamentalistsuseallpublicinformation.

Difficulty:Moderate

36.

Twobasicassumptionsoftechnicalanalysisarethatsecuritypricesadjust

A.

rapidlytonewinformationandmarketpricesaredeterminedbytheinteractionofsupplyanddemand.

B.

rapidlytonewinformationandliquidityisprovidedbysecuritydealers.

C.

graduallytonewinformationandmarketpricesaredeterminedbytheinteractionofsupplyanddemand.

D.

graduallytonewinformationandliquidityisprovidedbysecuritydealers.

E.

rapidlytoinformationandtotheactionsofinsiders.Techniciansfollowmarketdata--pricechangesandvolumeoftrading(asindicatorofsupplyanddemand)believingthattheycanidentifypricetrendsassecuritypricesadjustgradually.

Difficulty:Moderate

37.

Cumulativeabnormalreturns(CAR)

A.

areusedineventstudies.

B.

arebettermeasuresofsecurityreturnsduetofirm-specificeventsthanareabnormalreturns(AR).

C.

arecumulatedovertheperiodpriortothefirm-specificevent.

D.

AandB.

E.

AandC.Asleakageofinformationoccurs,theaccumulatedabnormalreturnsthatareabnormalreturnssummedovertheperiodofinterest(aroundtheeventdate)arebettermeasuresoftheeffectoffirm-specificevents.

Difficulty:Moderate

40.

Inanefficientmarketthecorrelationcoefficientbetweenstockreturnsfortwonon-overlappingtimeperiodsshouldbe

A.

positiveandlarge.

B.

positiveandsmall.

C.

zero.

D.

negativeandsmall.

E.

negativeandlarge.Inanefficientmarketthereshouldbenoserialcorrelationbetweenreturnsfromnon-overlappingperiods.

Difficulty:Moderate

41.

TheweatherreportsaysthatadevastatingandunexpectedfreezeisexpectedtohitFloridatonight,duringthepeakofthecitrusharvest.InanefficientmarketonewouldexpectthepriceofFloridaOrange'sstockto

A.

dropimmediately.

B.

remainunchanged.

C.

increaseimmediately.

D.

graduallydeclineforthenextseveralweeks.

E.

graduallyincreaseforthenextseveralweeks.Inanefficientmarketthepriceofthestockshoulddropimmediatelywhenthebadnewsisannounced.IflaternewschangestheperceivedimpacttoFloridaOrange,thepricemayonceagainadjustquicklytothenewinformation.AgradualchangeisaviolationoftheEMH.

Difficulty:Moderate

42.

MatthewsCorporationhasabetaof1.2.Theannualizedmarketreturnyesterdaywas13%,andtherisk-freerateiscurrently5%.YouobservethatMatthewshadanannualizedreturnyesterdayof17%.Assumingthatmarketsareefficient,thissuggeststhat

A.

badnewsaboutMatthewswasannouncedyesterday.

B.

goodnewsaboutMatthewswasannouncedyesterday.

C.

nonewsaboutMatthewswasannouncedyesterday.

D.

interestratesroseyesterday.

E.

interestratesfellyesterday.AR=17%-(5%+1.2(8%))=+2.4%.Apositiveabnormalreturnsuggeststhattherewasfirm-specificgoodnews.

Difficulty:Moderate

43.

NicholasManufacturingjustannouncedyesterdaythatits4thquarterearningswillbe10%higherthanlastyear's4thquarter.YouobservethatNicholashadanabnormalreturnof-1.2%yesterday.Thissuggeststhat

A.

themarketisnotefficient.

B.

Nicholas'stockwillprobablyriseinvaluetomorrow.

C.

investorsexpectedtheearningsincreasetobelargerthanwhatwasactuallyannounced.

D.

investorsexpectedtheearningsincreasetobesmallerthanwhatwasactuallyannounced.

E.

earningsareexpectedtodecreasenextquarter.Anticipatedearningschangesareimpoundedintoasecurity'spriceassoonasexpectationsareformed.Thereforeanegativemarketresponseindicatesthattheearningssurprisewasnegative,thatis,theincreasewaslessthananticipated.

Difficulty:Moderate

45.

Ifstockpricesfollowarandomwalk

A.

itimpliesthatinvestorsareirrational.

B.

itmeansthatthemarketcannotbeefficient.

C.

pricelevelsarenotrandom.

D.

pricechangesarerandom.

E.

pricemovementsarepredictable.Arandomwalkmeansthatthechangesinpricesarerandomandindependent.

Difficulty:Easy

48.

Whichofthefollowingareusedbyfundamentalanalyststodetermineproperstockprices?

I)trendlines

II)earnings

III)dividendprospects

IV)expectationsoffutureinterestrates

V)resistancelevels

A.

I,IV,andV

B.

I,II,andIII

C.

II,III,andIV

D.

II,IV,andV

E.

Alloftheitemsareusedbyfundamentalanalysts.Analystslookatfundamentalfactorssuchasearnings,dividendprospects,expectationoffutureinterestrates,andriskofthefirm.Theinformationisusedtodeterminethepresentvalueoffuturecashflowstostockholders.Technicalanalystsusetrendlinesandresistancelevels.

Difficulty:Moderate

49.

Accordingtoproponentsoftheefficientmarkethypothesis,thebeststrategyforasmallinvestorwithaportfolioworth$40,000isprobablyto

A.

performfundamentalanalysis.

B.

exploitmarketanomalies.

C.

investinTreasurysecurities.

D.

investinderivativesecurities.

E.

investinmutualfunds.Individualinvestorstendtohaverelativelysmallportfoliosandareusuallyunabletorealizeeconomiesofsize.Thebeststrategyistopoolfundswithothersmallinvestorsandallowprofessionalmanagerstoinvestthefunds.

Difficulty:Moderate

50.

Whichofthefollowingareinvestmentsuperstarswhohaveconsistentlyshownsuperiorperformance?

I)WarrenBuffet

II)PhoebeBuffet

III)PeterLynch

IV)MerrillLynch

V)JimmyBuffet

A.

I,III,andIV

B.

II,III,andIV

C.

IandIII

D.

IIIandIV

E.

I,III,IV,andVWarrenBuffetmanagesBerkshireHathawayandPeterLynchmanagedFidelity'sMagellanFund.PhoebeBuffetisacharacteronNBC's"Friends"andJimmyBuffetis"WastingAwayinMargaritaville".MerrillLynchisn'taperson.

Difficulty:Moderate

53.

QQAGhasabetaof1.7.Theannualizedmarketreturnyesterdaywas13%,andtherisk-freerateiscurrently3%.YouobservethatQQAGhadanannualizedreturnyesterdayof20%.Assumingthatmarketsareefficient,thissuggeststhat

A.

badnewsaboutQQAGwasannouncedyesterday.

B.

goodnewsaboutQQAGwasannouncedyesterday.

C.

nosignificantnewsaboutQQAGwasannouncedyesterday.

D.

interestratesroseyesterday.

E.

interestratesfellyesterday.AR=20%-(3%+1.7(10%))=0.0%.Apositiveabnormalreturnsuggeststhattherewasfirm-specificgoodnewsandanegativeabnormalreturnsuggeststhattherewasfirm-specificbadnews.

Difficulty:Moderate

55.

LJPCorporationjustannouncedyesterdaythatitwouldundertakeaninternationaljointventure.YouobservethatLJPhadanabnormalreturnof3%yesterday.Thissuggeststhat

A.

themarketisnotefficient.

B.

LJPstockwillprobablyriseinvalueagaintomorrow.

C.

investorsviewtheinternationaljointventureasbadnews.

D.

investorsviewtheinternationaljointventureasgoodnews.

E.

earningsareexpectedtodecreasenextquarter.Thepositiveabnormalreturnsuggeststhatinvestorsviewtheinternationaljointventureasgoodnews.

Difficulty:Moderate

57.

TheFoodandDrugAdministration(FDA)justannouncedyesterdaythattheywouldapproveanewcancer-fightingdrugfromKing.YouobservethatKinghadanabnormalreturnof0%yesterday.Thissuggeststhat

A.

themarketisnotefficient.

B.

Kingstockwillprobablyriseinvaluetomorrow.

C.

Kingstockwillprobablyfallinvaluetomorrow.

D.

theapprovalwasalreadyanticipatedbythemarket

E.

noneoftheabove.Theapprovalwasalreadyanticipatedbythemarket

Difficulty:Moderate

58.

Yourprofessorfindsastock-tradingrulethatgeneratesexcessrisk-adjustedreturns.Insteadofpublishingtheresults,shekeepsthetradingruletoherself.Thisismostcloselyassociatedwith________.

A.

regretavoidance

B.

selectionbias

C.

framing

D.

insidertrading

E.

noneoftheaboveThisisanexampleofselectionbias.

Difficulty:Moderate

59.

Atfreshmanorientat