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