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完整word版投资学第7版TestBank答案11.docx

1、完整word版投资学第7版TestBank答案11Multiple Choice Questions1.If you believe in the form of the EMH, you believe that stock prices reflect allrelevant information including historical stock prices and current public information about the firm, but not information that is available only to insiders.A)semistron

2、gB)strongC)weakD)A, B, and CE)none of the aboveAnswer: A Difficulty: EasyRationale: The semistrong form of EMH maintains that stock prices immediately reflect all historical and current public information, but not inside information.2.Proponents of the EMH typically advocateA)an active trading strat

3、egy.B)investing in an index fund.C)a passive investment strategy.D)A and BE)B and CAnswer: E Difficulty: EasyRationale: 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

4、 small investors.3.If you believe 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.A)semistrongB)strongC)weakD)all of the aboveE)none of the abo

5、veAnswer: C Difficulty: EasyRationale: The information described above is market data, which is the data 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

6、in the form of the EMH, you believe that stock prices reflectall available information, including information that is available only to insiders.A)semistrongB)strongC)weakD)all of the aboveE)none of the aboveAnswer: B Difficulty: EasyRationale: The strong form includes all public and private informa

7、tion.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 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 DAnswer: C Difficulty: EasyRationale

8、: 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 of a firms stock than on theunderlying determinants of future profitability.A)Credit analystsB)Fundamental analystsC)Systems analy

9、stsD)Technical analystsE)All of the aboveAnswer: D Difficulty: EasyRationale: Technicians attempt to predict future stock prices based on historical stock prices.7. above which it is difficult for the market to rise.A)Book value is a valueB)Resistance level is a valueC)Support level is a valueD)A an

10、d BE)A and CAnswer: B Difficulty: EasyRationale: 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 resistance levels.8. the return on a stock beyond what would be predicted

11、from marketmovements alone.A)An excess economic return isB)An economic return isC)An abnormal return isD)A and BE)A and CAnswer: E Difficulty: EasyRationale: An economic return is the expected return, based on the perceived level of risk and market factors. When returns exceed these levels, the retu

12、rns are called abnormal or excess economic returns.9.The debate over whether markets are efficient will probably never be resolved because of .A)the lucky event issue.B)the magnitude issue.C)the selection bias issue.D)all of the above.E)none of the above.Answer: D Difficulty: EasyRationale: Factors

13、A, B, and C 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 CAnswer: A Difficulty: EasyRationale: The index fund is, by definiti

14、on, passively managed. The other investment alternatives may or may not be managed passively.11.Arbel (1985) found thatA)the January effect was highest for neglected firms.B)the book-to-market value ratio effect was highest in JanuaryC)the liquidity effect was highest for small firms.D)the neglected

15、 firm effect was independent of the small firm effect.E)small firms had higher book-to-market value ratios.Answer: A Difficulty: ModerateRationale: Arbel divided firms into highly researched, moderately researched, and neglected groups based on the number of institutions holding the stock.12.Researc

16、hers have found that most of the small firm effect occursA)during the spring months.B)during the summer months.C)in December.D)in January.E)randomly.Answer: D Difficulty: ModerateRationale: Much of the so-called small firm effect simply may be the tax-effect as investors sell stocks on which they ha

17、ve losses in December and reinvest the funds in January. As small firms are especially volatile, these actions 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 betwee n 1972 and 1991 wereA)sig n

18、ifica ntly positive.B)significantly negative.C)statistically indistinguishable from zero.D)positive before 1981 and negative thereafter.E)negative before 1981 and positive thereafter.An swer: C Difficulty: ModerateRati on ale: Malkiels study suggests that fund man agers do not beat the market on a r

19、isk-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 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 divide nd yields tha

20、 n firms with high P/E ratios.E)none of the above.An swer: A Difficulty: ModerateRati on ale: Firms with high P/E ratios already have an in flated price relative to earnings and thus tend to have lower returns tha n low P/E ratio stocks. However, the P/E ratio may capture risk not fully impo un ded

21、in market betas so this may represe nt an appropriate risk adjustme nt rather tha n a market ano maly.15.Jaffe (1974) found that stock prices after insiders intensively bought shares.A)decreasedB)did not changeC)in creasedD)became extremely volatileE)became much less volatileAn swer: C Difficulty: M

22、oderateRati on ale: In sider trad ing may sig nal private in formati on.16.Banz (1981) found that, on average, the risk-adjusted returns of small firmsA)were higher than the risk-adjusted returns of large firms.B)were the same as the risk-adjusted returns of large firms.C)were lower than the risk-ad

23、justed returns of large firms.D)were unrelated to the risk-adjusted returns of large firms.E)were negative.Answer: A Difficulty: ModerateRationale: Banz found A to be true, although subsequent studies have attempted to explain the small firm effect as the January effect, the neglected firm effect, e

24、tc.17.Proponents of the EMH think technical analystsA)should focus on relative strength.B)should focus on resistance levels.C)should focus on support levels.D)should focus on financial statements.E)are wasting their time.Answer: E Difficulty: ModerateRationale: Technical analysts attempt to predict

25、future 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

26、price 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.Answer: D Difficulty: ModerateRationale: The market appears to adjust to earnings information

27、gradually, resulting in a sustained period of abnormal returns.19.On November 22, 2005 the stock price of Walmart was $39.50 and the retailer stock index 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 t

28、he retailer index on November 22 and November 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 sellin

29、gAnswer: A Difficulty: Moderate Rationale: 11/22: $39.50/600.30 = 0.0658; 11/25: $40.25/605.20 = 0.0665; Thus, K-Marts 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 r

30、eturn premium to invest in less liquid stocks.B)may help explain the small firm effect.C)may be related to the neglected firm effect.D)B and C.E)A, B, and C.Answer: E Difficulty: Moderate Rationale: Lack of liquidity may affect the returns of small and neglected firms; however the theory does not ex

31、plain why the abnormal returns are concentrated in January.21.Fama and French (1992) found that the stocks of firms within the highest decile of market/book ratios had average monthly returns of while the stocks of firmswithin the lowest decile of market/book ratios had average monthly returns of .A

32、)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%Answer: C Difficulty: Moderate Rationale: 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

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