投资学题库.docx
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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_________.
A. inefficient;theeffectofawell-functioningmarket
3. Thestockmarketfollowsa__________.
B. Submartingale
4. Ahybridstrategyisonewheretheinvestor
D. maintainsapassivecoreandaugmentsthepositionwithanactivelymanagedportfolio.
5. Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______.
D. zero;positive
6.6. Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______.
D. zero;positive
7. ProponentsoftheEMHtypicallyadvocate
B. investinginanindexfund.
C. apassiveinvestmentstrategy.
E. BandC
8. ProponentsoftheEMHtypicallyadvocate
C. apassiveinvestmentstrategy.
9. Ifyoubelieveinthe_______formoftheEMH,youbelievethatstockpricesreflectallinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices,tradingvolumeorshortinterest.
C. Weak
10. Ifyoubelieveinthe_________formoftheEMH,youbelievethatstockpricesreflectallavailableinformation,includinginformationthatisavailableonlytoinsiders.
B. strong
11. Ifyoubelieveinthereversaleffect,youshould
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$39.50andtheretailerstockindexwas600.30.OnNovember25,2005thestockpriceofWalmartwas$40.25andtheretailerstockindexwas605.20.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
C. demandforastocktoincreasesubstantially.
34. Afindingthat_________wouldprovideevidenceagainstthesemistrongformoftheefficientmarkettheory.
A. lowP/Estockstendtohavepositiveabnormalreturns
C. onecanconsistentlyoutperformthemarketbyadoptingthecontrarianapproachexemplifiedbythereversalsphenomenon
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. MatthewsCorporationhasabetaof1.2.Theannualizedmarketreturnyesterdaywas13%,andtherisk-freerateiscurrently5%.YouobservethatMatthewshadanannualizedreturnyesterdayof17%.Assumingthatmarketsareefficient,thissuggeststhat
B. goodnewsaboutMatthewswasannouncedyesterday.
43. NicholasManufacturingjustannouncedyesterdaythatits4thquarterearningswillbe10%higherthanlastyear's4thquarter.YouobservethatNicholashadanabnormalreturnof-1.2%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. Googlehasabetaof1.0.Theannualizedmarketreturnyesterdaywas11%,andtherisk-freerateiscurrently5%.YouobservethatGooglehadanannualizedreturnyesterdayof14%.Assumingthatmarketsareefficient,thissuggeststhat
B. goodnewsaboutGooglewasannouncedyesterday.
52. MusicDoctorshasabetaof2.25.Theannualizedmarketreturnyesterdaywas12%,andtherisk-freerateiscurrently4%.YouobservethatMusicDoctorshadanannualizedreturnyesterdayof15%.Assumingthatmarketsareefficient,thissuggeststhat
A. badnewsaboutMusicDoctorswasannouncedyesterday.
53. QQAGhasabetaof1.7.Theannualizedmarketreturnyesterdaywas13%,andtherisk-freerateiscurrently3%.YouobservethatQQAGhadanannualizedreturnyesterdayof20%.Assumingthatmarketsareefficient,thissuggeststhat
C. nosignificantn
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