完整word版投资学第7版Test Bank答案11.docx

完整word版投资学第7版Test Bank答案11.docx

《完整word版投资学第7版Test Bank答案11.docx》由会员分享，可在线阅读，更多相关《完整word版投资学第7版Test Bank答案11.docx（27页珍藏版）》请在冰豆网上搜索。

完整word版投资学第7版TestBank答案11

MultipleChoiceQuestions

1.Ifyoubelieveinthe________formoftheEMH,youbelievethatstockpricesreflectallrelevantinformationincludinghistoricalstockpricesandcurrentpublicinformationaboutthefirm,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.Ifyoubelieveinthe_______formoftheEMH,youbelievethatstockpricesreflectallinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices,tradingvolumeorshortinterest.

A）semistrong

B）strong

C）weak

D）alloftheabove

E）noneoftheabove

Answer:

CDifficulty:

Easy

Rationale:

Theinformationdescribedaboveismarketdata,whichisthedatasetfortheweakformofmarketefficiency.Thesemistrongformincludestheaboveplusallotherpublicinformation.Thestrongformincludesallpublicandprivateinformation.

4.Ifyoubelieveinthe_________formoftheEMH,youbelievethatstockpricesreflectallavailableinformation,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'sstockthanontheunderlyingdeterminantsoffutureprofitability.

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.___________thereturnonastockbeyondwhatwouldbepredictedfrommarketmovementsalone.

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）foundthatstockprices_________afterinsidersintensivelyboughtshares.

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.Walmartis_______theretailindustryandtechnicalanalystswhofollowrelativestrengthwouldadvise_______thestock.

A）outperforming,buying

B）outperforming,selling

C）underperforming,buying

D）underperforming,selling

E）equallyperforming,neitherbuyingnorselling

Answer:

ADifficulty:

Moderate

Rationale:

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:

Moderate

Rationale:

Lackofliquiditymayaffectthereturnsofsmallandneglectedfirms;howeverthetheorydoesnotexplainwhytheabnormalreturnsareconcentratedinJanuary.

21.FamaandFrench（1992）foundthatthestocksoffirmswithinthehighestdecileofma