投资学第版TestBank答案docWord文档下载推荐.docx
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investinginanindexfund.
apassiveinvestmentstrategy.
AandB
BandC
EDifficulty:
Believersofmarketefficiencyadvocatepassiveinvestmentstrategies,andaninvestmentinanindexfundisoneofthemostpracticalpassiveinvestmentstrategies,especiallyforsmallinvestors.
3.IfyoubelieveintheformoftheEMH,youbelievethatstockpricesreflectall
informationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices,tradingvolumeorshortinterest.
D)alloftheabove
CDifficulty:
Theinformationdescribedaboveismarketdata,whichisthedatasetfortheweakformofmarketefficiency.Thesemistrongformincludestheaboveplusallotherpublicinformation.Thestrongformincludesallpublicandprivateinformation.
4.IfyoubelieveintheformoftheEMH,youbelievethatstockpricesreflect
allavailableinformation,includinginformationthatisavailableonlytoinsiders.
semistrong
strong
weak
alloftheabove
noneoftheabove
BDifficulty:
Thestrongformincludesallpublicandprivateinformation.
5.Ifyoubelieveinthereversaleffect,youshould
A)buybondsinthisperiodifyouheldstocksinthelastperiod.
B)buystocksinthisperiodifyouheldbondsinthelastperiod.
C)buystocksthisperiodthatperformedpoorlylastperiod.
D)goshort.
E)CandD
Thereversaleffectstatesthatstocksthatdowellinoneperiodtendtoperformpoorlyinthesubsequentperiod,andviceversa.
6.focusmoreonpastpricemovementsofafirm'
sstockthanontheunderlyingdeterminantsoffutureprofitability.
\JZ\lz\)/XI/\J/ABcDE
Creditanalysts
Fundamentalanalysts
Systemsanalysts
Technicalanalysts
Alloftheabove
DDifficulty:
Techniciansattempttopredictfuturestockpricesbasedonhistoricalstockprices.
abovewhichitisdifficultforthemarkettorise.
Bookvalueisavalue
Resistancelevelisavalue
Supportlevelisavalue
AandC
Whenstockpriceshaveremainedstableforalongperiod,thesepricesaretermedresistancelevels;
techniciansbelieveitisdifficultforthestockpricestopenetratetheseresistancelevels.
8.thereturnonastockbeyondwhatwouldbepredictedfrommarketmovementsalone.
Anexcesseconomicreturnis
Aneconomicreturnis
Anabnormalreturnis
Aneconomicreturnistheexpectedreturn,basedontheperceivedlevelofriskandmarketfactors.Whenreturnsexceedtheselevels,thereturnsarecalledabnormalorexcesseconomicreturns.
foV)\17o\7ofABcDE
9-Thedebateoverwhethermarketsareefficientwillprobablyneverberesolvedbecausetheluckyeventissue,themagnitudeissue,theselectionbiasissue,alloftheabove.
noneoftheabove.
FactorsA,B,andCallexistmakerigidtestingofmarketefficiencydifficultorimpossible.
10.Acommonstrategyforpassivemanagementis.
A)creatinganindexfund
B)creatingasmallfirmfund
C)creatinganinvestmentclub
D)AandC
E)BandC
Theindexfundis,bydefinition,passivelymanaged.Theotherinvestmentalternativesmayormaynotbemanagedpassively.
11.Arbel(1985)foundthat
\JZ\—/\lzXJZ\)zABcDE
theJanuaryeffectwashighestfbrneglectedfirms.
thebook-to-marketvalueratioeffectwashighestinJanuary
theliquidityeffectwashighestforsmallfirms.
theneglectedfirmeffectwasindependentofthesmallfirmeffect.
smallfirmshadhigherbook-to-marketvalueratios.
Moderate
Arbeldividedfirmsintohighlyresearched,moderatelyresearched,andneglectedgroupsbasedonthenumberofinstitutionsholdingthestock.
12.Researchershavefoundthatmostofthesmallfirmeffectoccurs
A)duringthespringmonths.
B)duringthesummermonths.
C)inDecember.
D)inJanuary.
E)randomly.
Muchoftheso-calledsmallfirmeffectsimplymaybethetax-effectasinvestorssellstocksonwhichtheyhavelossesinDecemberandreinvestthefundsinJanuary.Assmallfirmsareespeciallyvolatile,theseactionsaffectsmallfirmsinamoredramaticfashion.
13.Malkiel(1995)calculatedthattheaveragealphas,orabnormalreturns,onalargesampleofmutualfundsbetween1972and1991were
A)significantlypositive.
B)significantlynegative.
C)statisticallyindistinguishablefromzero.
D)positivebefore1981andnegativethereafter.
E)negativebefore1981andpositivethereafter.
MalkieFsstudysuggeststhatfundmanagersdonotbeatthemarketonarisk-adjustedbasis.
14.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.
15.Jaffe(1974)foundthatstockpricesafterinsidersintensivelyboughtshares.
A)decreased
B)didnotchange
C)increased
D)becameextremelyvolatile
E)becamemuchlessvolatile
Insidertradingmaysignalprivateinformation.
16.
\—/\lz\J/XI/ABcDE
Banz(1981)foundthat,onaverage,thensk-adjustedreturnsofsmallfirmswerehigherthantherisk-adjustedreturnsoflargefirms,werethesameastherisk-adjustedreturnsoflargefirms,werelowerthantherisk-adjustedreturnsoflargefirms,wereunrelatedtotherisk-adjustedreturnsoflargefirms,werenegative.
BanzfoundAtobetrue,althoughsubsequentstudieshaveattemptedtoexplainthesmallfirmeffectastheJanuaryeffect,theneglectedfirmeffect,etc.
17.
\7\>
7XJZ\J/ABcDE
ProponentsoftheEMHthinktechnicalanalystsshouldfocusonrelativestrength,shouldfocusonresistancelevels,shouldfocusonsupportlevels,shouldfocusonfinancialstatements,arewastingtheirtime.
Technicalanalystsattempttopredictfuturestockpricesfromhistoricstockprices;
proponentsofEMHbelievethatstockpricechangesarerandomvariables.
18.Studiesofpositiveearningssurpriseshaveshownthatthereis
A)apositiveabnormalreturnonthedaypositiveearningssurprisesareannounced.
B)apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.
C)anegativedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.
D)bothAandBaretrue.
E)bothAandCaretrue.
Themarketappearstoadjusttoearningsinformationgradually,resultinginasustainedperiodofabnormalreturns-
19.OnNovember22,2005thestockpriceofWalmartwas$39.50andtheretailerstock
indexwas600.30.OnNovember25,2005thestockpriceofWalmartwas$40.25andtheretailerstockindexwas605.20.ConsidertheratioofWalmarttotheretailerindexonNovember22andNovember25.Walmartistheretailindustryand
technicalanalystswhofollowrelativestrengthwouldadvisethestock.
A)outperforming,buying
B)outperforming,selling
C)underperforming,buying
D)underperforming,selling
E)equallyperforming,neitherbuyingnorselling
11/22:
$39.50/600.30=0.0658;
11/25:
$40.25/605.20=0.0665;
Thus,K-Marfsrelativestrengthisimprovingandtechniciansusingthistechniquewouldrecommendbuying.
20.WorkbyAmihudandMendelson(1986,1991)
A)arguesthatinvestorswilldemandarateofreturnpremiumtoinvestinlessliquidstocks.
B)mayhelpexplainthesmallfirmeffect
C)mayberelatedtotheneglectedfirmeffect.
D)BandC.
E)A,B,andC.
Lackofliquiditymayaffectthereturnsofsmallandneglectedfirms;
howeverthetheorydoesnotexplainwhytheabnormalreturnsareconcentratedinJanuary.
21.FamaandFrench(1992)foundthatthestocksoffirmswithinthehighestdecileof
market/bookratioshadaveragemonthlyreturnsofwhilethestocksoffirms
withinthelowestdecileofmarket/bookratioshadaveragemonthlyreturns
of.
A)greaterthan1%,greaterthan1%
B)greaterthan1%,lessthan1%
C)lessthan1%,greaterthan1%
D)lessthan1%,lessthan1%
E)lessthan0.5%,greaterthan0.5%
Thisfindingsuggestseitherthatlowmarket-to-bookratiofirmsarerelativelyunderpriced,orthatthemarket-to-bookratioisservingasaproxyfor