完整word版投资学第7版TestBank答案11.docx
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完整word版投资学第7版TestBank答案11
MultipleChoiceQuestions
1.IfyoubelieveintheformoftheEMH,youbelievethatstockpricesreflectall
relevantinformationincludinghistoricalstockpricesandcurrentpublicinformationaboutthefirm,butnotinformationthatisavailableonlytoinsiders.
A)semistrong
B)strong
C)weak
D)A,B,andC
E)noneoftheabove
Answer:
ADifficulty:
Easy
Rationale:
ThesemistrongformofEMHmaintainsthatstockpricesimmediatelyreflectallhistoricalandcurrentpublicinformation,butnotinsideinformation.
2.ProponentsoftheEMHtypicallyadvocate
A)anactivetradingstrategy.
B)investinginanindexfund.
C)apassiveinvestmentstrategy.
D)AandB
E)BandC
Answer:
EDifficulty:
Easy
Rationale:
Believersofmarketefficiencyadvocatepassiveinvestmentstrategies,andaninvestmentinanindexfundisoneofthemostpracticalpassiveinvestmentstrategies,especiallyforsmallinvestors.
3.IfyoubelieveintheformoftheEMH,youbelievethatstockpricesreflectall
informationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices,tradingvolumeorshortinterest.
A)semistrong
B)strong
C)weak
D)alloftheabove
E)noneoftheabove
Answer:
CDifficulty:
Easy
Rationale:
Theinformationdescribedaboveismarketdata,whichisthedatasetfortheweakformofmarketefficiency.Thesemistrongformincludestheaboveplusallotherpublicinformation.Thestrongformincludesallpublicandprivateinformation.
4.IfyoubelieveintheformoftheEMH,youbelievethatstockpricesreflect
allavailableinformation,includinginformationthatisavailableonlytoinsiders.
A)semistrong
B)strong
C)weak
D)alloftheabove
E)noneoftheabove
Answer:
BDifficulty:
Easy
Rationale:
Thestrongformincludesallpublicandprivateinformation.
5.Ifyoubelieveinthereversaleffect,youshould
A)buybondsinthisperiodifyouheldstocksinthelastperiod.
B)buystocksinthisperiodifyouheldbondsinthelastperiod.
C)buystocksthisperiodthatperformedpoorlylastperiod.
D)goshort.
E)CandD
Answer:
CDifficulty:
Easy
Rationale:
Thereversaleffectstatesthatstocksthatdowellinoneperiodtendtoperformpoorlyinthesubsequentperiod,andviceversa.
6.focusmoreonpastpricemovementsofafirm'sstockthanonthe
underlyingdeterminantsoffutureprofitability.
A)Creditanalysts
B)Fundamentalanalysts
C)Systemsanalysts
D)Technicalanalysts
E)Alloftheabove
Answer:
DDifficulty:
Easy
Rationale:
Techniciansattempttopredictfuturestockpricesbasedonhistoricalstockprices.
7.abovewhichitisdifficultforthemarkettorise.
A)Bookvalueisavalue
B)Resistancelevelisavalue
C)Supportlevelisavalue
D)AandB
E)AandC
Answer:
BDifficulty:
Easy
Rationale:
Whenstockpriceshaveremainedstableforalongperiod,thesepricesaretermedresistancelevels;techniciansbelieveitisdifficultforthestockpricestopenetratetheseresistancelevels.
8.thereturnonastockbeyondwhatwouldbepredictedfrommarket
movementsalone.
A)Anexcesseconomicreturnis
B)Aneconomicreturnis
C)Anabnormalreturnis
D)AandB
E)AandC
Answer:
EDifficulty:
Easy
Rationale:
Aneconomicreturnistheexpectedreturn,basedontheperceivedlevelofriskandmarketfactors.Whenreturnsexceedtheselevels,thereturnsarecalledabnormalorexcesseconomicreturns.
9.Thedebateoverwhethermarketsareefficientwillprobablyneverberesolvedbecauseof.
A)theluckyeventissue.
B)themagnitudeissue.
C)theselectionbiasissue.
D)alloftheabove.
E)noneoftheabove.
Answer:
DDifficulty:
Easy
Rationale:
FactorsA,B,andCallexistmakerigidtestingofmarketefficiencydifficultorimpossible.
10.Acommonstrategyforpassivemanagementis.
A)creatinganindexfund
B)creatingasmallfirmfund
C)creatinganinvestmentclub
D)AandC
E)BandC
Answer:
ADifficulty:
Easy
Rationale:
Theindexfundis,bydefinition,passivelymanaged.Theotherinvestmentalternativesmayormaynotbemanagedpassively.
11.Arbel(1985)foundthat
A)theJanuaryeffectwashighestforneglectedfirms.
B)thebook-to-marketvalueratioeffectwashighestinJanuary
C)theliquidityeffectwashighestforsmallfirms.
D)theneglectedfirmeffectwasindependentofthesmallfirmeffect.
E)smallfirmshadhigherbook-to-marketvalueratios.
Answer:
ADifficulty:
Moderate
Rationale:
Arbeldividedfirmsintohighlyresearched,moderatelyresearched,andneglectedgroupsbasedonthenumberofinstitutionsholdingthestock.
12.Researchershavefoundthatmostofthesmallfirmeffectoccurs
A)duringthespringmonths.
B)duringthesummermonths.
C)inDecember.
D)inJanuary.
E)randomly.
Answer:
DDifficulty:
Moderate
Rationale:
Muchoftheso-calledsmallfirmeffectsimplymaybethetax-effectasinvestorssellstocksonwhichtheyhavelossesinDecemberandreinvestthefundsinJanuary.Assmallfirmsareespeciallyvolatile,theseactionsaffectsmallfirmsinamoredramaticfashion.
13.Malkiel(1995)calculatedthattheaveragealphas,orabnormalreturns,onalargesampleofmutualfundsbetween1972and1991were
A)significantlypositive.
B)significantlynegative.
C)statisticallyindistinguishablefromzero.
D)positivebefore1981andnegativethereafter.
E)negativebefore1981andpositivethereafter.
Answer:
CDifficulty:
Moderate
Rationale:
Malkiel'sstudysuggeststhatfundmanagersdonotbeatthemarketonarisk-adjustedbasis.
14.Basu(1977,1983)foundthatfirmswithlowP/Eratios
A)earnedhigheraveragereturnsthanfirmswithhighP/Eratios.
B)earnedthesameaveragereturnsasfirmswithhighP/Eratios.
C)earnedloweraveragereturnsthanfirmswithhighP/Eratios.
D)hadhigherdividendyieldsthanfirmswithhighP/Eratios.
E)noneoftheabove.
Answer:
ADifficulty:
Moderate
Rationale:
FirmswithhighP/EratiosalreadyhaveaninflatedpricerelativetoearningsandthustendtohavelowerreturnsthanlowP/Eratiostocks.However,theP/Eratiomaycapturerisknotfullyimpoundedinmarketbetassothismayrepresentanappropriateriskadjustmentratherthanamarketanomaly.
15.Jaffe(1974)foundthatstockpricesafterinsidersintensivelyboughtshares.
A)decreased
B)didnotchange
C)increased
D)becameextremelyvolatile
E)becamemuchlessvolatile
Answer:
CDifficulty:
Moderate
Rationale:
Insidertradingmaysignalprivateinformation.
16.Banz(1981)foundthat,onaverage,therisk-adjustedreturnsofsmallfirms
A)werehigherthantherisk-adjustedreturnsoflargefirms.
B)werethesameastherisk-adjustedreturnsoflargefirms.
C)werelowerthantherisk-adjustedreturnsoflargefirms.
D)wereunrelatedtotherisk-adjustedreturnsoflargefirms.
E)werenegative.
Answer:
ADifficulty:
Moderate
Rationale:
BanzfoundAtobetrue,althoughsubsequentstudieshaveattemptedtoexplainthesmallfirmeffectastheJanuaryeffect,theneglectedfirmeffect,etc.
17.ProponentsoftheEMHthinktechnicalanalysts
A)shouldfocusonrelativestrength.
B)shouldfocusonresistancelevels.
C)shouldfocusonsupportlevels.
D)shouldfocusonfinancialstatements.
E)arewastingtheirtime.
Answer:
EDifficulty:
Moderate
Rationale:
Technicalanalystsattempttopredictfuturestockpricesfromhistoricstockprices;proponentsofEMHbelievethatstockpricechangesarerandomvariables.
18.Studiesofpositiveearningssurpriseshaveshownthatthereis
A)apositiveabnormalreturnonthedaypositiveearningssurprisesareannounced.
B)apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.
C)anegativedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.
D)bothAandBaretrue.
E)bothAandCaretrue.
Answer:
DDifficulty:
Moderate
Rationale:
Themarketappearstoadjusttoearningsinformationgradually,resultinginasustainedperiodofabnormalreturns.
19.OnNovember22,2005thestockpriceofWalmartwas$39.50andtheretailerstockindexwas600.30.OnNovember25,2005thestockpriceofWalmartwas$40.25andtheretailerstockindexwas605.20.ConsidertheratioofWalmarttotheretailerindexonNovember22andNovember25.Walmartistheretailindustryand
technicalanalystswhofollowrelativestrengthwouldadvisethestock.
A)outperforming,buying
B)outperforming,selling
C)underperforming,buying
D)underperforming,selling
E)equallyperforming,neitherbuyingnorselling
Answer:
ADifficulty:
ModerateRationale:
11/22:
$39.50/600.30=0.0658;11/25:
$40.25/605.20=0.0665;Thus,K-Mart'srelativestrengthisimprovingandtechniciansusingthistechniquewouldrecommendbuying.
20.WorkbyAmihudandMendelson(1986,1991)
A)arguesthatinvestorswilldemandarateofreturnpremiumtoinvestinlessliquidstocks.
B)mayhelpexplainthesmallfirmeffect.
C)mayberelatedtotheneglectedfirmeffect.
D)BandC.
E)A,B,andC.
Answer:
EDifficulty:
ModerateRationale:
Lackofliquiditymayaffectthereturnsofsmallandneglectedfirms;howeverthetheorydoesnotexplainwhytheabnormalreturnsareconcentratedinJanuary.
21.FamaandFrench(1992)foundthatthestocksoffirmswithinthehighestdecileofmarket/bookratioshadaveragemonthlyreturnsofwhilethestocksoffirms
withinthelowestdecileofmarket/bookratioshadaveragemonthlyreturnsof.
A)greaterthan1%,greaterthan1%
B)greaterthan1%,lessthan1%
C)lessthan1%,greaterthan1%
D)lessthan1%,lessthan1%
E)lessthan0.5%,greaterthan0.5%
Answer:
CDifficulty:
ModerateRationale:
Thisfindingsuggestseitherthatlowmarket-to-bookratiofirmsarerelativelyunderpriced,orthatthemarket-to-bookratioisservingasa