投资学题库Chap008.docx
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投资学题库Chap008.docx
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投资学题库Chap008
Chapter08
TheEfficientMarketHypothesis
1.Thecorrelationcoefficientshouldbezero.Ifitwerenotzero,thenonecouldusereturnsfromoneperiodtopredictreturnsinlaterperiodsandthereforeearnabnormalprofits.
2.Thephrasewouldbecorrectifitweremodifiedtosay“expectedriskadjustedreturns.”Securitiesallhavethesameriskadjustedexpectedreturn,however,actualresultscananddovary.Unknowneventscausecertainsecuritiestooutperformothers.Thisisnotknowninadvancesoexpectationsaresetbyknowninformation.
3.Overthelonghaul,thereisanexpectedupwarddriftinstockpricesbasedontheirfairexpectedratesofreturn.Thefairexpectedreturnoveranysingledayisverysmall.,12%peryearisonlyabout%perday),sothatonanydaythepriceisvirtuallyequallylikelytoriseorfall.However,overlongerperiods,thesmallexpecteddailyreturnscumulate,andupwardmovesareindeedmorelikelythandownwardones.
4.No,thisisnotaviolationoftheEMH.Microsoft’scontinuinglargeprofitsdonotimplythatstockmarketinvestorswhopurchasedMicrosoftsharesafteritssuccessalreadywasevidentwouldhaveearnedahighreturnontheirinvestments.
5.No.Randomwalktheorynaturallyexpectstheretobesomepeoplewhobeatthemarketandsomepeoplewhodonot.Theinformationprovided,however,failstoconsidertheriskoftheinvestment.Higherriskinvestmentsshouldhavehigherreturns.Aspresented,itispossibletobelievehimwithoutviolatingtheEMH.
6.b.Thisisthedefinitionofanefficientmarket.
7.d.Itisnotpossibletoofferahigherriskrisk-returntradeoffifmarketsareefficient.
8.Strongfirmefficiencyincludesallinformation;historical,publicandprivate.
9.Incorrect.Intheshortterm,marketsreflectarandompattern.Informationisconstantlyflowingintheeconomyandinvestorseachhavedifferentexpectationsthatvaryconstantly.Afluctuatingmarketaccuratelyreflectsthislogic.Furthermore,whileincreasedvariabilitymaybetheresultofanincreaseinunknownvariables,thismerelyincreasesriskandthepriceisadjusteddownwardasaresult.
10.c
Thisisapredictablepatterninreturns,whichshouldnotoccurifthestockmarketisweaklyefficient.
11.
c
Thisisaclassicfilterrule,whichwouldappeartocontradicttheweakformoftheefficientmarkethypothesis.
12.c
TheP/Eratioispublicinformationsothisobservationwouldprovideevidenceagainstthesemi-strongformoftheefficientmarkettheory.
13.No,itisnotmoreattractiveasapossiblepurchase.Anyvalueassociatedwithdividendpredictabilityisalreadyreflectedinthestockprice.
14.No,thisisnotaviolationoftheEMH.Thisempiricaltendencydoesnotprovideinvestorswithatoolthatwillenablethemtoearnabnormalreturns;inotherwords,itdoesnotsuggestthatinvestorsarefailingtouseallavailableinformation.Aninvestorcouldnotusethisphenomenontochooseundervaluedstockstoday.Thephenomenoninsteadreflectsthefactthatdividendsoccurasaresponsetogoodperformance.Afterthefact,thestocksthathappentohaveperformedthebestwillpayhigherdividends,butthisdoesnotimplythatyoucanidentifythebestperformersearlyenoughtoearnabnormalreturns.
15.Whilepositivebetastocksrespondwelltofavorablenewinformationabouttheeconomy’sprogressthroughthebusinesscycle,theseshouldnotshowabnormalreturnsaroundalreadyanticipatedevents.Ifarecovery,forexample,isalreadyanticipated,theactualrecoveryisnotnews.Thestockpriceshouldalreadyreflectthecomingrecovery.
16.
b.Consistent.Halfofallmanagersshouldoutperformthemarketbasedonpureluckinanyyear.
c.Violation.Thiswouldbethebasisforan"easymoney"rule:
simplyinvestwithlastyear'sbestmanagers.
d.Consistent.Predictablevolatilitydoesnotconveyameanstoearnabnormalreturns.
e.Violation.TheabnormalperformanceoughttooccurinJanuary,whentheincreasedearningsareannounced.
f.Violation.Reversalsofferameanstoearneasymoney:
simplybuylastweek'slosers.
17.
AnanomalyisconsideredanEMHexceptionbecausethereishistoricaldatatosubstantiatedaclaimthatsaidanomalieshaveproducedexcessriskadjustedabnormalreturnsinthepast.Severalanomaliesregardingfundamentalanalysishavebeenuncovered.TheseincludetheP/Eeffect,thesmall-firm-in-Januaryeffect,theneglected-firmeffect,post–earnings-announcementpricedrift,andthebook-to-marketeffect.Whethertheseanomaliesrepresentmarketinefficiencyorpoorlyunderstoodriskpremiumsisstillamatterofdebate.Therearerationalexplanationsforeach,butnoteveryoneagreesontheexplanation.Onedominantexplanationisthatmanyofthesefirmsarealsoneglectedfirms,duetolowtradingvolume,thustheyarenotpartofanefficientmarketoroffermoreriskasaresultoftheirreducedliquidity.
18.Implicitinthedollar-costaveragingstrategyisthenotionthatstockpricesfluctuatearounda“normal”level.Otherwise,thereisnomeaningtostatementssuchas:
“whenthepriceishigh.”Howdoweknow,forexample,whetherapriceof$25todaywillbeviewedashighorlowcomparedtothestockpriceinsixmonthsfromnow
19.Themarketrespondspositivelytonewnews.Iftheeventualrecoveryisanticipated,thentherecoveryisalreadyreflectedinstockprices.Onlyabetter-than-expectedrecovery(oraworse-than-expectedrecovery)shouldaffectstockprices.
20.Youshouldbuythestock.Inyourview,thefirm’smanagementisnotasbadaseveryoneelsebelievesittobe.Therefore,youviewthefirmasundervaluedbythemarket.Youarelesspessimisticaboutthefirm’sprospectsthanthebeliefsbuiltintothestockprice.
21.Themarketmayhaveanticipatedevengreaterearnings.Comparedtopriorexpectations,theannouncementwasadisappointment.
22.Thenegativeabnormalreturns(downwarddriftinCAR)justpriortostockpurchasessuggestthatinsidersdeferredtheirpurchasesuntilafterbadnewswasreleasedtothepublic.Thisisevidenceofvaluableinsideinformation.Thepositiveabnormalreturnsafterpurchasesuggestinsiderpurchasesinanticipationofgoodnews.Theanalysisissymmetricforinsidersales.
23.Thenegativeabnormalreturns(downwarddriftinCAR)justpriortostockpurchasessuggestthatinsidersdeferredtheirpurchasesuntilafterbadnewswasreleasedtothepublic.Thisisevidenceofvaluableinsideinformation.Thepositiveabnormalreturnsafterpurchasesuggestinsiderpurchasesinanticipationofgoodnews.Theanalysisissymmetricforinsidersales.
24.
Ifashiftwereactuallypredictable,itwouldbeaviolationofEMH.Suchshiftswouldbeexpectedtooccurasaresultofarecession,buttherecessionisnotpredictable,thusitisnotactuallyaviolationofEMH.Thatbeingsaid,suchashiftisconsistentwithEMHsincetheshiftoccursafterarecessionorrecoveryoccurs.Asthenewshitsthemarket,theriskpremiumsareadjusted.Thereasonthisisperceivedasanoverreactionisbecausetherearetwoeventsoccurring.First,recessionsleadtoreducedprofits,impactingthenumeratorinafundamentalanalysis.Thisreducedcashflowrepressesstockprices.Simultaneously,therecessioncausesriskpremiumstorise,thusincreasingthedenominatorinthefundamentalanalysiscalculation.Anincreaseinthedenominatorfurtherreducestheprice.Theresultistheappearanceofanoverreaction.
CFA1
b
Publicinformationconstitutessemi-stringefficiency,whiletheadditionofprivateinformationleadstostrongformefficiency.
CFA2
a
Theinformationshouldbeabsorbedinstantly.
CFA3
b
Sinceinformationisimmediatelyincludedinstockprices,thereisnobenefittobuyingstockafteranannouncement.
CFA4
c
Stocksproducingabnormalexcessreturnswillincreaseinpricetoeliminatethepositivealpha.
CFA5
c
Arandomwalkreflectsnootherinformationandisthusrandom.
CFA6
d
Unexpectedresultsarebydefinitionananomaly.
CFA7
Assumptionssupportingpassivemanagementare:
a.informationalefficiency
b.primacyofdiversificationmotives
Activemanagementissupportedbytheoppositeassumptions,inparticular,thatpocketsofmarketinefficiencyexist.
CFA8
a.Thegrandsonisrecommendingtakingadvantageof(i)thesmallfirmanomalyand(ii)theJanuaryanomaly.Infact,thisseemstobeoneanomaly:
thesmall-firm-in-Januaryanomaly.
b.
(i)Concentrationofone’sportfolioinstockshavingverysimilarattributesmayexposetheportfoliotomoreriskthanisdesirable.Thestrategylimitsthepotentialfordiversification.
(ii)Evenifthestudyresultsarecorrectasdescribed,eachsuchstudycoversaspecifictimeperiod.Thereisnoassurancethatfuturetimeperiodswouldyieldsimilarresults.
(iii)Aftertheresultsofthestudiesbecamepubliclyknown,investmentdecisionsmightnullifytheserelationships.Ifthesefirmsinfactofferedinvestmentbargains,theirpricesmaybebiduptoreflectthenow-knownopportunity.
CFA9
a.Theefficientmarkethypothesis(EMH)statesthatamarketisefficientifsecuritypricesimmediatelyandfullyreflectallavailablerelevantinformation.Ifthemarketfullyreflectsinformation,theknowledgeofthatinformationwouldnotallowaninvestortoprofitfromtheinformationbecausestockpricesalreadyincorporatetheinformation.
TheweakformoftheEMHassertsthatstockpricesreflectalltheinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpastpricesandtradingvolume.
Astrongbodyofevidencesupportsweak-formefficiencyinthemajorU.S.securitiesmarkets.Forexample,testresultssug
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