投资学第版TestBank答案docWord文档下载推荐.docx

1、investing in an index fund.a passive investment strategy.A and BB and C E Difficulty: Believers of market efficiency advocate passive investment strategies, and an investment in an index fund is one of the most practical passive investment strategies, especially for small investors.3.If you believe

2、in the form of the EMH, you believe that stock prices reflect allinformation that can be derived by examining market trading data such as the history of past stock prices, trading volume or short interest.D）all of the above C Difficulty: The information described above is market data, which is the d

3、ata set for the weak form of market efficiency. The semistrong form includes the above plus all other public information. The strong form includes all public and private information.4.If you believe in the form of the EMH, you believe that stock prices reflectall available information, including inf

4、ormation that is available only to insiders.semistrongstrongweakall of the abovenone of the above B Difficulty: The strong form includes all public and private information.5.If you believe in the reversal effect, you shouldA）buy bonds in this period if you held stocks in the last period.B）buy stocks

5、 in this period if you held bonds in the last period.C）buy stocks this period that performed poorly last period.D）go short.E）C and D The reversal effect states that stocks that do well in one period tend to perform poorly in the subsequent period, and vice versa.6. focus more on past price movements

6、 of a firms stock than on the underlying determinants of future profitability.JZ lz ）/ XI/ J/ A B c D ECredit analystsFundamental analystsSystems analystsTechnical analystsAll of the above D Difficulty: Technicians attempt to predict future stock prices based on historical stock prices.above which i

7、t is difficult for the market to rise.Book value is a valueResistance level is a valueSupport level is a valueA and C When stock prices have remained stable for a long period, these prices are termed resistance levels; technicians believe it is difficult for the stock prices to penetrate these resis

8、tance levels.8. the return on a stock beyond what would be predicted from market movements alone.An excess economic return isAn economic return isAn abnormal return is An economic return is the expected return, based on the perceived level of risk and market factors. When returns exceed these levels

9、, the returns are called abnormal or excess economic returns.f o V） 17 o 7 ofA B c D E9- The debate over whether markets are efficient will probably never be resolved because the lucky event issue, the magnitude issue, the selection bias issue, all of the above.none of the above. Factors A, B, and C

10、 all exist make rigid testing of market efficiency difficult or impossible.10.A common strategy for passive management is.A）creating an index fundB）creating a small firm fundC）creating an investment clubD）A and CE）B and C The index fund is, by definition, passively managed. The other investment alte

11、rnatives may or may not be managed passively.11.Arbel （1985） found thatJZ / lz XJZ ）z A B c D Ethe January effect was highest fbr neglected firms.the book-to-market value ratio effect was highest in Januarythe liquidity effect was highest for small firms.the neglected firm effect was independent of

12、the small firm effect.small firms had higher book-to-market value ratios. Moderate Arbel divided firms into highly researched, moderately researched, and neglected groups based on the number of institutions holding the stock.12.Researchers have found that most of the small firm effect occursA）during

13、 the spring months.B）during the summer months.C）in December.D）in January.E）randomly. Much of the so-called small firm effect simply may be the tax-effect as investors sell stocks on which they have losses in December and reinvest the funds in January. As small firms are especially volatile, these ac

14、tions affect small firms in a more dramatic fashion.13.Malkiel （1995） calculated that the average alphas, or abnormal returns, on a large sample of mutual funds between 1972 and 1991 wereA）significantly positive.B）significantly negative.C）statistically indistinguishable from zero.D）positive before 1

15、981 and negative thereafter.E）negative before 1981 and positive thereafter. MalkieFs study suggests that fund managers do not beat the market on a risk-adjusted basis.14.Basu （1977, 1983） found that firms with low P/E ratiosA）earned higher average returns than firms with high P/E ratios.B）earned the

16、 same average returns as firms with high P/E ratios.C）earned lower average returns than firms with high P/E ratios.D）had higher dividend yields than firms with high P/E ratios.E）none of the above. Firms with high P/E ratios already have an inflated price relative to earnings and thus tend to have lo

17、wer returns than low P/E ratio stocks- However, the P/E ratio may capture risk not fully impounded in market betas so this may represent an appropriate risk adjustment rather than a market anomaly.15.Jaffe （1974） found that stock prices after insiders intensively bought shares.A）decreasedB）did not c

18、hangeC）increasedD）became extremely volatileE）became much less volatile Insider trading may signal private information.16./ lz J/ XI/ A B c D EBanz （1981） found that, on average, the nsk-adjusted returns of small firms were higher than the risk-adjusted returns of large firms, were the same as the ri

19、sk-adjusted returns of large firms, were lower than the risk-adjusted returns of large firms, were unrelated to the risk-adjusted returns of large firms, were negative. Banz found A to be true, although subsequent studies have attempted to explain the small firm effect as the January effect, the neg

20、lected firm effect, etc.17.7 7 XJZ J/ A B c D EProponents of the EMH think technical analysts should focus on relative strength, should focus on resistance levels, should focus on support levels, should focus on financial statements, are wasting their time. Technical analysts attempt to predict futu

21、re stock prices from historic stock prices; proponents of EMH believe that stock price changes are random variables.18.Studies of positive earnings surprises have shown that there isA）a positive abnormal return on the day positive earnings surprises are announced.B）a positive drift in the stock pric

22、e on the days following the earnings surprise announcement.C）a negative drift in the stock price on the days following the earnings surprise announcement.D）both A and B are true.E）both A and C are true. The market appears to adjust to earnings information gradually, resulting in a sustained period o

23、f abnormal returns-19.On November 22, 2005 the stock price of Walmart was $39.50 and the retailer stockindex was 600.30. On November 25, 2005 the stock price of Walmart was $40.25 and the retailer stock index was 605.20. Consider the ratio of Walmart to the retailer index on November 22 and November

24、 25. Walmart is the retail industry andtechnical analysts who follow relative strength would advise the stock.A）outperforming, buyingB）outperforming, sellingC）underperforming, buyingD）underperforming, sellingE）equally performing, neither buying nor selling 11/22: $39.50/600.30 = 0.0658; 11/25: $40.2

25、5/605.20 = 0.0665; Thus, K-Marfs relative strength is improving and technicians using this technique would recommend buying.20.Work by Amihud and Mendelson （1986,1991）A）argues that investors will demand a rate of return premium to invest in less liquid stocks.B）may help explain the small firm effect

26、C）may be related to the neglected firm effect.D）B and C.E）A, B, and C. Lack of liquidity may affect the returns of small and neglected firms; however the theory does not explain why the abnormal returns are concentrated in January.21.Fama and French （1992） found that the stocks of firms within the h

27、ighest decile ofmarket/book ratios had average monthly returns of while the stocks of firmswithin the lowest decile of market/book ratios had average monthly returnsof.A）greater than 1%, greater than 1%B）greater than 1%, less than 1%C）less than 1%, greater than 1%D）less than 1%, less than 1%E）less than 0.5%, greater than 0.5% This finding suggests either that low market-to-book ratio firms are relatively underpriced, or that the market-to-book ratio is serving as a proxy for