投资管理(investment-management)第11章自测(DOC 20页)

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1、精品文档 你我共享Chapter 11The Efficient Market HypothesisMCQ1.If you believe in the _ form of the EMH, you believe that stock prices reflect all relevant information including historical stock prices and current public information about the firm, but not information that is available only to insiders.A.sem

2、istrongB.strongC.weakD.A, B, and CE.none of the aboveThe semistrong form of EMH maintains that stock prices immediately reflect all historical and current public information, but not inside information.Difficulty: Easy2.When Maurice Kendall examined the patterns of stock returns in 1953 he concluded

3、 that the stock market was _. Now, these random price movements are believed to be _.A.inefficient; the effect of a well-functioning marketB.efficient; the effect of an inefficient marketC.inefficient; the effect of an inefficient marketD.efficient; the effect of a well-functioning marketE.irrationa

4、l; even more irrational than beforeRandom price changes were originally thought to be driven by irrationality. Now, financial economists believe random price changes occur because markets are informationally efficient.Difficulty: Easy4.A hybrid strategy is one where the investorA.uses both fundament

5、al and technical analysis to select stocks.B.selects the stocks of companies that specialize in alternative fuels.C.selects some actively-managed mutual funds on their own and uses an investment advisor to select other actively-managed funds.D.maintains a passive core and augments the position with

6、an actively managed portfolio.E.none of the above.A hybrid strategy is one where the investor maintains a passive core and augments the position with an actively managed portfolio.Difficulty: Easy5.The difference between a random walk and a submartingale is the expected price change in a random walk

7、 is _ and the expected price change for a submartingale is _.A.positive; zeroB.positive; positiveC.positive; negativeD.zero; positiveE.zero; zeroA random walk has an expected price change of zero and a submartingale has a positive expected price change.Difficulty: Easy7.Proponents of the EMH typical

8、ly advocateA.an active trading strategy.B.investing in an index fund.C.a passive investment strategy.D.A and BE.B and CBelievers 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

9、small investors.Difficulty: Easy8.Proponents of the EMH typically advocateA.buying individual stocks on margin and trading frequently.B.investing in hedge funds.C.a passive investment strategy.D.A and BE.B and CBelievers of market efficiency advocate passive investment strategies, and an investment

10、in an index fund is one of the most practical passive investment strategies, especially for small investors.Difficulty: Easy9.If you believe in the _ form of the EMH, you believe that stock prices reflect all information that can be derived by examining market trading data such as the history of pas

11、t stock prices, trading volume or short interest.A.semistrongB.strongC.weakD.all of the aboveE.none of the aboveThe 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

12、strong form includes all public and private information.Difficulty: Easy10.If you believe in the _ form of the EMH, you believe that stock prices reflect all available information, including information that is available only to insiders.A.semistrongB.strongC.weakD.all of the aboveE.none of the abov

13、eThe strong form includes all public and private information.Difficulty: Easy11.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 p

14、oorly last period.D.go short.E.C and DThe reversal effect states that stocks that do well in one period tend to perform poorly in the subsequent period, and vice versa.Difficulty: Easy12._ focus more on past price movements of a firms stock than on the underlying determinants of future profitability

15、.A.Credit analystsB.Fundamental analystsC.Systems analystsD.Technical analystsE.All of the aboveTechnicians attempt to predict future stock prices based on historical stock prices.Difficulty: Easy13._ above which it is difficult for the market to rise.A.Book value is a valueB.Resistance level is a v

16、alueC.Support level is a valueD.A and BE.A and CWhen 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.Difficulty: Easy14._ below which it is difficult for the

17、market to fall.A.Intrinsic value is a valueB.Resistance level is a valueC.Support level is a valueD.A and BE.B and CWhen stock prices have remained stable for a long period, these prices are termed support levels; technicians believe it is difficult for the stock prices to penetrate these support le

18、vels.Difficulty: Easy15._ the return on a stock beyond what would be predicted from market movements alone.A.An excess economic return isB.An economic return isC.An abnormal return isD.A and BE.A and CAn economic return is the expected return, based on the perceived level of risk and market factors.

19、 When returns exceed these levels, the returns are called abnormal or excess economic returns.Difficulty: Easy16.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.no

20、ne of the above.Factors A, B, and C all exist make rigid testing of market efficiency difficult or impossible.Difficulty: Easy18.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 highes

21、t for small firms.D.the neglected firm effect was independent of the small firm effect.E.small firms had higher book-to-market value ratios.Arbel divided firms into highly researched, moderately researched, and neglected groups based on the number of institutions holding the stock.Difficulty: Modera

22、te20.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 dividend yields than firms with high

23、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 lower 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 adjustmen

24、t rather than a market anomaly.Difficulty: Moderate21.Jaffe (1974) found that stock prices _ after insiders intensively bought shares.A.decreasedB.did not changeC.increasedD.became extremely volatileE.became much less volatileInsider trading may signal private information.Difficulty: Moderate22.Banz

25、 (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-adjusted returns of large firms.D.were unrelated to the risk-adjusted returns of

26、large firms.E.were negative.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, etc.Difficulty: Moderate24.Studies of positive earnings surprises have shown that there isA.a positive abnormal return on

27、 the day positive earnings surprises are announced.B.a positive drift in the stock 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.The market

28、appears to adjust to earnings information gradually, resulting in a sustained period of abnormal returns.Difficulty: Moderate25.Studies of negative earnings surprises have shown that there isA.a negative abnormal return on the day negative earnings surprises are announced.B.a positive drift in the s

29、tock 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.The market appears to adjust to earnings information gradually, resulting in a sustained

30、period of abnormal returns.Difficulty: Moderate26.Studies of stock price reactions to news are calledA.reaction studies.B.event studies.C.drift studies.D.both A and D are true.E.both B and D are true.Studies of stock price reactions to news are called event studies.Difficulty: Moderate27.On November

31、 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 the retailer index on November 22 and November 25. Walmart is _ the retail ind

32、ustry and technical analysts who follow relative strength would advise _ the stock.A.outperforming, buyingB.outperforming, sellingC.underperforming, buyingD.underperforming, sellingE.equally performing, neither buying nor selling11/22: $39.50/600.30 = 0.0658; 11/25: $40.25/605.20 = 0.0665; Thus, K-M

33、arts relative strength is improving and technicians using this technique would recommend buying.Difficulty: Moderate28.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.C.may

34、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.Difficulty: Moderate9.Fama and French (1992) found that the stocks of firms

35、within the highest decile of market/book ratios had average monthly returns of _ while the stocks of firms within 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%, l

36、ess 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 a risk factor that affects expected equilibrium returns.Difficulty: Moderate30.A market decline of 23%

37、 on a day when there is no significant macroeconomic event _ consistent with the EMH because _.A.would be, it was a clear response to macroeconomic news.B.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

38、not a clear response to macroeconomic news.E.none of the above.This happened on October 19, 1987. Although this specific event is not mentioned in this edition of the book, it is an example of something that would be considered a violation of the EMH.Difficulty: Moderate31.In an efficient market, _.

39、A.security 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 CA, B, and C are true; however, even in an efficient market

40、 one should be able to earn the appropriate risk-adjusted rate of return.Difficulty: Easy34.A finding that _ would provide evidence against the semistrong form of the efficient market theory.A.low P/E stocks tend to have positive abnormal returnsB.trend analysis is worthless in determining stock pri

41、cesC.one can consistently outperform the market by adopting the contrarian approach exemplified by the reversals phenomenonD.A and BE.A and CBoth A and C are inconsistent with the semistrong form of the EMH.Difficulty: Moderate35.The weak form of the efficient market hypothesis contradictsA.technica

42、l 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 successful fundamental analysis.E.none of the above.The process of fund

43、amental analysis makes the market more efficient, and thus the work of the fundamentalist more difficult. The data set for the weak form of the EMH is market data, which is the only data used exclusively by technicians. Fundamentalists use all public information.Difficulty: Moderate36.Two basic assu

44、mptions of technical analysis are that security prices adjustA.rapidly to new information and market prices are determined by the interaction of supply and demand.B.rapidly to new information and liquidity is provided by security dealers.C.gradually to new information and market prices are determine

45、d by the interaction of supply and demand.D.gradually to new information and liquidity is provided by security dealers.E.rapidly to information and to the actions of insiders.Technicians follow market data-price changes and volume of trading (as indicator of supply and demand) believing that they ca

46、n identify price trends as security prices adjust gradually.Difficulty: Moderate37.Cumulative abnormal returns (CAR)A.are used in event studies.B.are better measures of security returns due to firm-specific events than are abnormal returns (AR).C.are cumulated over the period prior to the firm-speci

47、fic event.D.A and B.E.A and C.As leakage of information occurs, the accumulated abnormal returns that are abnormal returns summed over the period of interest (around the event date) are better measures of the effect of firm-specific events.Difficulty: Moderate40.In an efficient market the correlatio

48、n coefficient between stock returns for two non-overlapping time periods should beA.positive and large.B.positive and small.C.zero.D.negative and small.E.negative and large.In an efficient market there should be no serial correlation between returns from non-overlapping periods.Difficulty: Moderate4

49、1.The weather report says that a devastating and unexpected freeze is expected to hit Florida tonight, during the peak of the citrus harvest. In an efficient market one would expect the price of Florida Oranges stock toA.drop immediately.B.remain unchanged.C.increase immediately.D.gradually decline

50、for the next several weeks.E.gradually increase for the next several weeks.In an efficient market the price of the stock should drop immediately when the bad news is announced. If later news changes the perceived impact to Florida Orange, the price may once again adjust quickly to the new informatio

51、n. A gradual change is a violation of the EMH.Difficulty: Moderate42.Matthews 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 return yesterday of 17%. Assuming that markets are efficien

52、t, this suggests thatA.bad news 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.AR = 17% - (5% + 1.2 (8%) = +2.4%. A positive abnormal return sug

53、gests that there was firm-specific good news.Difficulty: Moderate43.Nicholas Manufacturing just announced yesterday that its 4th quarter earnings will be 10% higher than last years 4th quarter. You observe that Nicholas had an abnormal return of -1.2% yesterday. This suggests thatA.the market is not

54、 efficient.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 actually announced.E.earnings are expected to decrease next quarter.Anticip

55、ated earnings changes are impounded into a securitys price as soon as expectations are formed. Therefore a negative market response indicates that the earnings surprise was negative, that is, the increase was less than anticipated.Difficulty: Moderate45.If stock prices follow a random walkA.it impli

56、es that investors are irrational.B.it means that the market cannot be efficient.C.price levels are not random.D.price changes are random.E.price movements are predictable.A random walk means that the changes in prices are random and independent.Difficulty: Easy48.Which of the following are used by f

57、undamental analysts to determine proper stock prices? I) trendlinesII) earningsIII) dividend prospectsIV) expectations of future interest ratesV) resistance levelsA.I, IV, and VB.I, II, and IIIC.II, III, and IVD.II, IV, and VE.All of the items are used by fundamental analysts.Analysts look at fundam

58、ental factors such as earnings, dividend prospects, expectation of future interest rates, and risk of the firm. The information is used to determine the present value of future cash flows to stockholders. Technical analysts use trendlines and resistance levels.Difficulty: Moderate49.According to pro

59、ponents of the efficient market hypothesis, the best strategy for a small investor with a portfolio worth $40,000 is probably toA.perform fundamental analysis.B.exploit market anomalies.C.invest in Treasury securities.D.invest in derivative securities.E.invest in mutual funds.Individual investors te

60、nd to have relatively small portfolios and are usually unable to realize economies of size. The best strategy is to pool funds with other small investors and allow professional managers to invest the funds.Difficulty: Moderate50.Which of the following are investment superstars who have consistently

61、shown superior performance? I) Warren BuffetII) Phoebe BuffetIII) Peter LynchIV) Merrill LynchV) Jimmy BuffetA.I, III, and IVB.II, III, and IVC.I and IIID.III and IVE.I, III, IV, and VWarren Buffet manages Berkshire Hathaway and Peter Lynch managed Fidelitys Magellan Fund. Phoebe Buffet is a charact

62、er on NBCs Friends and Jimmy Buffet is Wasting Away in Margaritaville. Merrill Lynch isnt a person.Difficulty: Moderate53.QQAG has a beta of 1.7. The annualized market return yesterday was 13%, and the risk-free rate is currently 3%. You observe that QQAG had an annualized return yesterday of 20%. Assuming that markets are efficient, this suggests thatA.bad news about QQAG was