投资学题库.docx

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_________. 

3.A. inefficient;theeffectofawell-functioningmarket

3. Thestockmarketfollowsa__________. 

4.B. Submartingale

4. Ahybridstrategyisonewheretheinvestor 

5.D. maintainsapassivecoreandaugmentsthepositionwithanactivelymanagedportfolio.

5. Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______. 

6.D. zero;positive

7.6. Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______. 

8.D. zero;positive

9. 7. ProponentsoftheEMHtypicallyadvocate 

10.B. investinginanindexfund.

11.C. apassiveinvestmentstrategy.

12.E. BandC

8. ProponentsoftheEMHtypicallyadvocate 

9.C. apassiveinvestmentstrategy.

9. Ifyoubelieveinthe_______formoftheEMH,youbelievethatstockpricesreflectallinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices,tradingvolumeorshortinterest. 

10.C. Weak

10. Ifyoubelieveinthe_________formoftheEMH,youbelievethatstockpricesreflectallavailableinformation,includinginformationthatisavailableonlytoinsiders. 

11.B. strong

12. 11. Ifyoubelieveinthereversaleffect,youshould 

13.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$andtheretailerstockindexwas.OnNovember25,2005thestockpriceofWalmartwas$andtheretailerstockindexwas.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 

34.C. demandforastocktoincreasesubstantially.

34. Afindingthat_________wouldprovideevidenceagainstthesemistrongformoftheefficientmarkettheory. 

35.A. lowP/Estockstendtohavepositiveabnormalreturns

36.C. onecanconsistentlyoutperformthemarketbyadoptingthecontrarianapproachexemplifiedbythereversalsphenomenon

37.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. MatthewsCorporationhasabetaof.Theannualizedmarketreturnyesterdaywas13%,andtherisk-freerateiscurrently5%.YouobservethatMatthewshadanannualizedreturnyesterdayof17%.Assumingthatmarketsareefficient,thissuggeststhat 

B. goodnewsaboutMatthewswasannouncedyesterday.

43. NicholasManufacturingjustannouncedyesterdaythatits4thquarterearningswillbe10%higherthanlastyear's4thquarter.YouobservethatNicholashadanabnormalreturnof%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. Googlehasabetaof.Theannualizedmarketreturnyesterdaywas11%,andtherisk-freerateiscurrently5%.YouobservethatGooglehadanannualizedreturnyesterdayof14%.Assumingthatmarketsareefficient,thissuggeststhat 

B. goodnewsaboutGooglewasannouncedyesterday.

52. MusicDoctorshasabetaof.Theannualizedmarketreturnyesterdaywas12%,andtherisk-freerateiscurrently4%.YouobservethatMusicDoctorshadanannualizedreturnyesterdayof15%.Assumingthatmarketsareefficient,thissuggeststhat 

A. badnewsaboutMusicDoctorswasannouncedyesterday.

53. QQAGhasabetaof.Theannualizedmarketreturnyesterdaywas13%,andtherisk-freerateiscurrently3%.YouobservethatQQAGhadanannualizedreturnyesterdayof20%.Assumingthatmarketsareefficient,thissuggeststhat 

C. nosignificantn