投资学题库.docx

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投资学题库

Chapter11

TheEfficientMarketHypothesis

MultipleChoiceQuestions

 1。

 Ifyoubelieveinthe________formoftheEMH,youbelievethatstockpricesreflectallrelevantinformationincludinghistoricalstockpricesandcurrentpublicinformationaboutthefirm，butnotinformationthatisavailableonlytoinsiders. 

A. Semistrong

2. WhenMauriceKendallexaminedthepatternsofstockreturnsin1953heconcludedthatthestockmarketwas__________。

Now，theserandompricemovementsarebelievedtobe_________. 

A。

 inefficient;theeffectofawell—functioningmarket

3. Thestockmarketfollowsa__________。

B. Submartingale

4. Ahybridstrategyisonewheretheinvestor 

D。

 maintainsapassivecoreandaugmentsthepositionwithanactivelymanagedportfolio。

5. Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______。

D. zero;positive

6.6。

 Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______. 

D。

 zero；positive

 7。

 ProponentsoftheEMHtypicallyadvocate 

B. investinginanindexfund。

C。

 apassiveinvestmentstrategy。

E。

 BandC

8. ProponentsoftheEMHtypicallyadvocate 

C. apassiveinvestmentstrategy。

9. Ifyoubelieveinthe_______formoftheEMH，youbelievethatstockpricesreflectallinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices，tradingvolumeorshortinterest。

C. Weak

10. Ifyoubelieveinthe_________formoftheEMH，youbelievethatstockpricesreflectallavailableinformation,includinginformationthatisavailableonlytoinsiders。

B。

 strong

 11. Ifyoubelieveinthereversaleffect，youshould 

C. buystocksthisperiodthatperformedpoorlylastperiod.

12。

 __________focusmoreonpastpricemovementsofafirm'sstockthanontheunderlyingdeterminantsoffutureprofitability. 

D. Technicalanalysts

13. _________abovewhichitisdifficultforthemarkettorise. 

B. Resistancelevelisavalue

14. _________belowwhichitisdifficultforthemarkettofall. 

C. Supportlevelisavalue 

15. ___________thereturnonastockbeyondwhatwouldbepredictedfrommarketmovementsalone. 

A. Anexcesseconomicreturnis

C. Anabnormalreturnis

E. AandC

16。

 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。

 increased

22。

 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。

 OnNovember22,2005thestockpriceofWalmartwas＄39。

50andtheretailerstockindexwas600.30.OnNovember25,2005thestockpriceofWalmartwas$40。

25andtheretailerstockindexwas605。

20.ConsidertheratioofWalmarttotheretailerindexonNovember22andNovember25。

Walmartis_______theretailindustryandtechnicalanalystswhofollowrelativestrengthwouldadvise_______thestock。

A。

 outperforming,buying

28. 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。

 securitypricesreactquicklytonewinformation

B. securitypricesareseldomfaraboveorbelowtheirjustifiedlevels

C. securityanalystswillnotenableinvestorstorealizesuperiorreturnsconsistently

E。

 A，B,andC

32。

 Theweakformoftheefficientmarkethypothesisassertsthat 

B。

 futurechangesinstockpricescannotbepredictedfrompastprices.

C. technicianscannotexpecttooutperformthemarket。

E。

 BandC

33. Asupportlevelisthepricerangeatwhichatechnicalanalystwouldexpectthe 

C. demandforastocktoincreasesubstantially。

34. Afindingthat_________wouldprovideevidenceagainstthesemistrongformoftheefficientmarkettheory. 

A。

 lowP/Estockstendtohavepositiveabnormalreturns

C. onecanconsistentlyoutperformthemarketbyadoptingthecontrarianapproachexemplifiedbythereversalsphenomenon

E. AandC

35。

 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）trendlines

II）earnings

III）dividendprospects

IV）expectationsoffutureinterestrates

V）resistancelevels 

C。

 II，III，andIV

 49。

 Accordingtoproponentsoftheefficientmarkethypothesis,thebeststrategyforasmallinvestorwithaportfolioworth＄40，000isprobablyto 

E。

 investinmutualfunds。

50. Whichofthefollowingareinvestmentsuperstarswhohaveconsistentlyshownsuperiorperformance？

I）WarrenBuffet

II）PhoebeBuffet

III）PeterLynch

IV）MerrillLynch

V）JimmyBuffet 

C。

 IandIII

51. 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。

 nosignificantn