(完整word版)投资学第7版TestBank答案11

1、Chapter 11 The Efficient Market Hypothesis237Multiple 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 aboutthe firm, but not information that is available only t

2、o insiders.A) semistrongB) strongC) weakD) A, B, and CE) none of the aboveAnswer: A Difficulty: EasyRationale: The semistrong form of EMH maintains that stock prices immediately reflect allhistorical and current public information, but not inside information.2. Proponents of the EMH typically advoca

3、teA) an active trading strategy.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 aninvestment in an index fund is one of the most practical passive invest

4、ment strategies,especially for 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 ofpast stock prices, trading volume or short interest.A) semistrongB) strongC) weak

5、D) all of the aboveE) none of the aboveAnswer: C Difficulty: EasyRationale: The information described above is market data, which is the data set for theweak form of market efficiency. The semistrong form includes the above plus all otherpublic information. The strong form includes all public and pr

6、ivate information.Chapter 11 The Efficient Market Hypothesis2384. If you believe 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 aboveAnsw

7、er: B Difficulty: EasyRationale: 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 in this period if you held bonds in the last period.C) buy stocks this peri

8、od that performed poorly last period.D) go short.E) C and DAnswer: C Difficulty: EasyRationale: The reversal effect states that stocks that do well in one period tend to performpoorly in the subsequent period, and vice versa.6._ focus more on past price movements of a firms stock than on theunderlyi

9、ng determinants of future profitability.A) Credit analystsB) Fundamental analystsC) Systems analystsD) Technical analystsE) All of the aboveAnswer: D Difficulty: EasyRationale: Technicians attempt to predict future stock prices based on historical stockprices.Chapter 11 The Efficient Market Hypothes

10、is2397._ 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 and BE) A and CAnswer: B Difficulty: EasyRationale: When stock prices have remained stable for a long period, these prices aretermed resistance levels; te

11、chnicians believe it is difficult for the stock prices to penetratethese resistance levels.8._ the return on a stock beyond what would be predicted 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: Easy

12、Rationale: An economic return is the expected return, based on the perceived level of riskand market factors. When returns exceed these levels, the returns are called abnormal orexcess economic returns.9. The debate over whether markets are efficient will probably never be resolved because of.A) the

13、 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 A, B, and C all exist make rigid testing of market efficiency difficult orimpossible.Chapter 11 The Efficient Market Hypothesis24010. A common s

14、trategy 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 definition, passively managed. The other investmentalternatives may or may not be managed passively.1

15、1. 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 firm effect was independent of the small firm effect.E) small firms had higher book-to-m

16、arket value ratios.Answer: A Difficulty: ModerateRationale: Arbel divided firms into highly researched, moderately researched, andneglected groups based on the number of institutions holding the stock.12. Researchers have found that most of the small firm effect occursA) during the spring months.B)

17、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 investorssell stocks on which they have losses in December and reinvest the funds in January. Assmall firms are especiall

18、y volatile, these actions affect small firms in a more dramaticfashion.Chapter 11 The Efficient Market Hypothesis24113. Malkiel (1995) calculated that the average alphas, or abnormal returns, on a large sampleof mutual funds betwee n 1972 and 1991 wereA) sig nifica ntly positive.B) significantly neg

19、ative.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 arisk-adjusted basis.14. Basu (1977, 19

20、83) 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 n firms with high P/E ratios.E)

21、 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 earningsand thus tend to have lower returns tha n low P/E ratio stocks. However, the P/E ratio maycapture risk not fully impo un ded in market betas so this may repre

22、se nt an appropriate riskadjustme 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: ModerateRati on ale: In side

23、r trad ing may sig nal private in formati on.Chapter 11 The Efficient Market Hypothesis24216. 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

24、lower than the risk-adjusted 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 explainthe small firm effect as the January effect, the n

25、eglected firm effect, etc.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

26、 analysts attempt to predict future stock prices from historic stockprices; 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)

27、 a positive drift in the stock price on the days following the earnings surpriseannouncement.C) a negative drift in the stock price on the days following the earnings surpriseannouncement.D) both A and B are true.E) both A and C are true.Answer: D Difficulty: ModerateRationale: The market appears to

28、 adjust to earnings information gradually, resulting in asustained period of abnormal returns.Chapter 11 The Efficient Market Hypothesis24319. On November 22, 2005 the stock price of Walmart was $39.50 and the retailer stock indexwas 600.30. On November 25, 2005 the stock price of Walmart was $40.25

29、 and the retailerstock index was 605.20. Consider the ratio of Walmart to the retailer index on November 22and November 25. Walmart is _ the retail industry andtechnical analysts who follow relative strength would advise _ the stock.A) outperforming, buyingB) outperforming, sellingC) underperforming

30、, buyingD) underperforming, sellingE) equally performing, neither buying nor sellingAnswer: 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 techniciansusing this technique would recommend buying.20. Work

31、by Amihud and Mendelson (1986,1991)A) argues that investors will demand a rate of return premium to invest in less liquidstocks.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 liquidi

32、ty may affect the returns of smalland neglected firms; however the theory does not explain why the abnormal returns areconcentrated in January.21. Fama and French (1992) found that the stocks of firms within the highest decile ofmarket/book ratios had average monthly returns of _ while the stocks of

33、 firmswithin the lowest decile of market/book ratios had average monthly returns of .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%Answer: C Difficulty: Moderate Rationale: This find

34、ing suggests either that lowmarket-to-book ratio firms are relatively underpriced, or that the market-to-book ratio isserving as a proxy for a risk factor that affects expected equilibrium returns.22.A market decline of 23% on a day when there is no significant macroeconomic eventconsistent with the

35、 EMH because _.A) would be, it was a clear response to macroeconomic news.Chapter 11 The Efficient Market Hypothesis244B) would be, it was not a clear response to macroeconomic news.C) would not be, it was a clear response to macroeconomic news.D) would not be, it was not a clear response to macroec

36、onomic news.E) none of the above.Answer: D Difficulty: ModerateRationale: This happened on October 19, 1987. Although this specific event is notmentioned in this edition of the book, it is an example of something that would beconsidered a violation of the EMH.23. In an efficient market, _.A) securit

37、y prices react quickly to new informationB) security prices are seldom far above or below their justified levelsC) security analysts will not enable investors to realize superior returns consistentlyD) one cannot make moneyE) A, B, and CAnswer: E Difficulty: EasyRationale: A, B, and C are true; howe

38、ver, even in an efficient market one should be able toearn the appropriate risk-adjusted rate of return.24. The weak form of the efficient market hypothesis asserts thatA) stock prices do not rapidly adjust to new information contained in past prices or pastdata.B) future changes in stock prices can

39、not be predicted from past prices.C) technicians cannot expect to outperform the market.D) A and BE) B and CAnswer: E Difficulty: EasyRationale: Stock prices do adjust rapidly to new information.Chapter 11 The Efficient Market Hypothesis24525. A support level is the price range at which a technical

40、analyst would expect theA) supply of a stock to increase dramatically.B) supply of a stock to decrease substantially.C) demand for a stock to increase substantially.D) demand for a stock to decrease substantially.E) price of a stock to fall.Answer: C Difficulty: EasyRationale: A support level is con

41、sidered to be a level below that the price of the stock isunlikely to fall and is believed to be determined by market psychology.26. A finding that _ would provide evidence against the semistrong form of theefficient market theory.A) low P/E stocks tend to have positive abnormal returnsB) trend anal

42、ysis is worthless in determining stock pricesC) one can consistently outperform the market by adopting the contrarian approachexemplified by the reversals phenomenonD) A and BE) A and CAnswer: E Difficulty: ModerateRationale: Both A and C are inconsistent with the semistrong form of the EMH.27. The

43、weak form of the efficient market hypothesis contradictsA) technical analysis, but supports fundamental analysis as valid.B) fundamental analysis, but supports technical analysis as valid.C) both fundamental analysis and technical analysis.D) technical analysis, but is silent on the possibility of s

44、uccessful fundamental analysis.E) none of the above.Answer: D Difficulty: ModerateRationale: The process of fundamental analysis makes the market more efficient, and thusthe work of the fundamentalist more difficult. The data set for the weak form of the EMH ismarket data, which is the only data use

45、d exclusively by technicians. Fundamentalists useall public information.28. Two basic assumptions of technical analysis are that security prices adjustA) rapidly to new information and market prices are determined by the interaction of supplyand demand.Chapter 11 The Efficient Market Hypothesis246B)

46、 rapidly to new information and liquidity is provided by security dealers.C) gradually to new information and market prices are determined by the interaction ofsupply and demand.D) gradually to new information and liquidity is provided by security dealers.E) rapidly to information and to the actions

47、 of insiders.Answer: C Difficulty: ModerateRationale: Technicians follow market data-price changes and volume of trading (as indicatorof supply and demand) believing that they can identify price trends as security prices adjustgradually.29. Cumulative abnormal returns (CAR)A) are used in event studi

48、es.B) are better measures of security returns due to firm-specific events than are abnormalreturns (AR).C) are cumulated over the period prior to the firm-specific event.D) A and B.E) A and C.Answer: D Difficulty: ModerateRationale: As leakage of information occurs, the accumulated abnormal returns

49、that areabnormal returns summed over the period of interest (around the event date) are bettermeasures of the effect of firm-specific events.30. Studies of mutual fund performanceA) indicate that one should not randomly select a mutual fund.B) indicate that historical performance is not necessarily

50、indicative of future performance.C) indicate that the professional management of the fund insures above market returns.D) A and B.E) B and C.Answer: D Difficulty: EasyRationale: Studies show that all funds do not outperform the market and that historicalperformance is not necessarily an indicator of

51、 future performance.31. The likelihood of an investment newsletters successfully predicting the direction of the marketfor three consecutive years by chance should beA) between 50% and 70%.Chapter 11 The Efficient Market Hypothesis247B) between 25% and 50%.C) between 10% and 25%.D) less than 10%.E)

52、greater than 70%.Answer: C Difficulty: ModerateRationale: The probability of successful prediction for 3 consecutive years is 23, or 12.5%.32. In an efficient market the correlation coefficient between stock returns for two non-overlappingtime periods should beA) positive and large.B) positive and s

53、mall.C) zero.D) negative and small.E) negative and large.Answer: C Difficulty: ModerateRationale: In an efficient market there should be no serial correlation between returns fromnon-overlapping periods.33. The weather report says that a devastating and unexpected freeze is expected to hit Floridato

54、night, during the peak of the citrus harvest. In an efficient market one would expect the priceof Florida Oranges stock toA) drop immediately.B) remain unchanged.C) increase immediately.D) gradually decline for the next several weeks.E) gradually increase for the next several weeks.Answer: A Difficu

55、lty: ModerateRationale: In an efficient market the price of the stock should drop immediately when the badnews is announced. If later news changes the perceived impact to Florida Orange, the pricemay once again adjust quickly to the new information. A gradual change is a violation of theEMH.34. Matt

56、hews Corporation has a beta of 1.2. The annualized market return yesterday was 13%,and the risk-free rate is currently 5%. You observe that Matthews had an annualized returnyesterday of 17%. Assuming that markets are efficient, this suggests thatChapter 11 The Efficient Market Hypothesis248A) bad ne

57、ws about Matthews was announced yesterday.B) good news about Matthews was announced yesterday.C) no news about Matthews was announced yesterday.D) interest rates rose yesterday.E) interest rates fell yesterday.Answer: B Difficulty: ModerateRationale: AR = 17% - (5% + 1.2 (8%) = +2.4%. A positive abn

58、ormal return suggests thatthere was firm-specific good news.35. Nicholas Manufacturing just announced yesterday that itst4hquarter earnings will be 10%higher than last years 4thquarter. You observe that Nicholas had an abnormal return of -1.2%yesterday. This suggests thatA) the market is not efficie

59、nt.B) Nicholas stock will probably rise in value tomorrow.C) investors expected the earnings increase to be larger than what was actually announced.D) investors expected the earnings increase to be smaller than what was actuallyannounced.E) earnings are expected to decrease next quarter.Answer: C Di

60、fficulty: ModerateRationale: Anticipated earnings changes are impounded into a securitys price as soon asexpectations are formed. Therefore a negative market response indicates that the earningssurprise was negative, that is, the increase was less than anticipated.Chapter 11 The Efficient Market Hyp