金融市场与机构6.docx

金融市场与机构6.docx

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金融市场与机构6

1Chapter6

AreFinancialMarketsEfficient?

1 MultipleChoiceQuestions

1.Howexpectationsareformedisimportantbecauseexpectationsinfluence

（a）thedemandforassets.

（b）bondprices.

（c）theriskstructureofinterestrates.

（d）thetermstructureofinterestrates.

（e）alloftheabove.

Answer:

E

2.Accordingtotheefficientmarkethypothesis,thecurrentpriceofafinancialsecurity

（a）isthediscountednetpresentvalueoffutureinterestpayments.

（b）isdeterminedbythehighestsuccessfulbidder.

（c）fullyreflectsallavailablerelevantinformation.

（d）isaresultofnoneoftheabove.

Answer:

C

3.Theefficientmarkethypothesis

（a）isbasedontheassumptionthatpricesofsecuritiesfullyreflectallavailableinformation.

（b）holdsthattheexpectedreturnonasecurityequalstheequilibriumreturn.

（c）both（a）and（b）.

（d）neither（a）nor（b）.

Answer:

C

4.Iftheoptimalforecastofthereturnonasecurityexceedstheequilibriumreturn,then

（a）themarketisinefficient.

（b）anunexploitedprofitopportunityexists.

（c）themarketisinequilibrium.

（d）only（a）and（b）oftheabovearetrue.

（e）only（b）and（c）oftheabovearetrue.

Answer:

D

5.Accordingtotheefficientmarkethypothesis

（a）onecannotexpecttoearnanabnormallyhighreturnbypurchasingasecurity.

（b）informationinnewspapersandinthepublishedreportsoffinancialanalystsisalreadyreflectedinmarketprices.

（c）unexploitedprofitopportunitiesabound,therebyexplainingwhysomanypeoplegetrichbytradingsecurities.

（d）alloftheabovearetrue.

（e）only（a）and（b）oftheabovearetrue.

Answer:

E

6.Anotherwaytostatetheefficientmarketconditionisthatinanefficientmarket,

（a）unexploitedprofitopportunitieswillbequicklyeliminated.

（b）unexploitedprofitopportunitieswillneverexist.

（c）arbitrageursguaranteethatunexploitedprofitopportunitiesneverexist.

（d）both（a）and（c）oftheaboveoccur.

Answer:

A

7.Anotherwaytostatetheefficientmarkethypothesisisthatinanefficientmarket,

（a）unexploitedprofitopportunitieswillneverexistasmarketparticipants,suchasarbitrageurs,ensurethattheyareinstantaneouslydissipated.

（b）unexploitedprofitopportunitieswillnotexistforlong,asmarketparticipantswillactquicklytoeliminatethem.

（c）everyfinancialmarketparticipantmustbewellinformedaboutsecurities.

（d）only（a）and（c）oftheabove.

Answer:

B

8.Asituationinwhichthepriceofanassetdiffersfromitsfundamentalmarketvalueiscalled

（a）anunexploitedprofitopportunity.

（b）abubble.

（c）acorrection.

（d）ameanreversion.

Answer:

B

9.Asituationinwhichthepriceofanassetdiffersfromitsfundamentalmarketvalue

（a）indicatesthatunexploitedprofitopportunitiesexist.

（b）indicatesthatunexploitedprofitopportunitiesdonotexist.

（c）neednotindicatethatunexploitedprofitopportunitiesexist.

（d）indicatesthattheefficientmarkethypothesisisfundamentallyflawed.

Answer:

C

10.Studiesofmutualfundperformanceindicatethatmutualfundsthatoutperformedthemarketinonetimeperiod

（a）usuallybeatthemarketinthenexttimeperiod.

（b）usuallybeatthemarketinthenexttwosubsequenttimeperiods.

（c）usuallybeatthemarketinthenextthreesubsequenttimeperiods.

（d）usuallydonotbeatthemarketinthenexttimeperiod.

Answer:

D

11.Theefficientmarkethypothesissuggeststhatallocatingyourfundsinthefinancialmarketsontheadviceofafinancialanalyst

（a）willcertainlymeanhigherreturnsthanifyouhadmadeselectionsbythrowingdartsatthefinancialpage.

（b）willalwaysmeanlowerreturnsthanifyouhadmadeselectionsbythrowingdartsatthefinancialpage.

（c）isnotlikelytoprovesuperiortoastrategyofmakingselectionsbythrowingdartsatthefinancialpage.

（d）isgoodfortheeconomy.

Answer:

C

12.IvanBoesky,themostsuccessfuloftheso-calledarbsinthe1980s,wasabletooutperformthemarketonaconsistentbasis,indicatingthat

（a）securitiesmarketsarenotefficient.

（b）unexploitedprofitopportunitieswereabundant.

（c）investorscanoutperformthemarketwithinsideinformation.

（d）only（b）and（c）oftheabove.

Answer:

D

13.Tosaythatstockpricesfollowa“randomwalk”istoarguethat

（a）stockpricesrise,thenfall.

（b）stockpricesrise,thenfallinapredictablefashion.

（c）stockpricestendtofollowtrends.

（d）stockpricesare,forallpracticalpurposes,unpredictable.

Answer:

D

14.Tosaythatstockpricesfollowa“randomwalk”istoarguethat

（a）stockpricesrise,thenfall,thenriseagain.

（b）stockpricesrise,thenfallinapredictablefashion.

（c）stockpricestendtofollowtrends.

（d）stockpricescannotbepredictedbasedonpasttrends.

Answer:

D

15.Rulesusedtopredictmovementsinstockpricesbasedonpastpatt