投资学题库

Chapter11-TheEfficientMarketHypothesis11-1Chapter11TheEfficientMarketHypothesisMultipleChoiceQuestions1.Ifyoubelieveinthe________formoftheEMH,youbelievethatstockpricesreflectallrelevantinformationincludinghistoricalstockpricesandcurrentpublicinformationaboutthefirm,butnotinformationthatisavailableonlytoinsiders.A.Semistrong2.WhenMauriceKendallexaminedthepatternsofstockreturnsin1953heconcludedthatthestockmarketwas__________.Now,theserandompricemovementsarebelievedtobe_________.A.inefficient;theeffectofawell-functioningmarket3.Thestockmarketfollowsa__________.B.Submartingale4.AhybridstrategyisonewheretheinvestorD.maintainsapassivecoreandaugmentsthepositionwithanactivelymanagedportfolio.5.Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______.D.zero;positive6.6.Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______.D.zero;positive7.ProponentsoftheEMHtypicallyadvocateB.investinginanindexfund.C.apassiveinvestmentstrategy.E.BandC8.ProponentsoftheEMHtypicallyadvocateC.apassiveinvestmentstrategy.9.Ifyoubelieveinthe_______formoftheEMH,youbelievethatstockpricesreflectallinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices,tradingvolumeorshortinterest.C.Weak10.Ifyoubelieveinthe_________formoftheEMH,youbelievethatstockpricesreflectallavailableinformation,includinginformationthatisavailableonlytoinsiders.B.strong11.Ifyoubelieveinthereversaleffect,youshouldC.buystocksthisperiodthatperformedpoorlylastperiod.12.__________focusmoreonpastpricemovementsofafirm'sstockthanontheunderlyingdeterminantsoffutureprofitability.D.Technicalanalysts13._________abovewhichitisdifficultforthemarkettorise.B.ResistancelevelisavalueChapter11-TheEfficientMarketHypothesis11-214._________belowwhichitisdifficultforthemarkettofall.C.Supportlevelisavalue15.___________thereturnonastockbeyondwhatwouldbepredictedfrommarketmovementsalone.A.AnexcesseconomicreturnisC.AnabnormalreturnisE.AandC16.Thedebateoverwhethermarketsareefficientwillprobablyneverberesolvedbecauseof________.A.theluckyeventissue.B.themagnitudeissue.C.theselectionbiasissue.D.alloftheabove.17.Acommonstrategyforpassivemanagementis____________.A.creatinganindexfund18.Arbel(1985)foundthatA.theJanuaryeffectwashighestforneglectedfirms.19.ResearchershavefoundthatmostofthesmallfirmeffectoccursD.inJanuary.20.Basu(1977,1983)foundthatfirmswithlowP/EratiosA.earnedhigheraveragereturnsthanfirmswithhighP/Eratios.21.Jaffe(1974)foundthatstockprices_________afterinsidersintensivelyboughtshares.C.increased22.Banz(1981)foundthat,onaverage,therisk-adjustedreturnsofsmallfirmsA.werehigherthantherisk-adjustedreturnsoflargefirms.23.ProponentsoftheEMHthinktechnicalanalystsE.arewastingtheirtime.24.StudiesofpositiveearningssurpriseshaveshownthatthereisA.apositiveabnormalreturnonthedaypositiveearningssurprisesareannounced.B.apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.D.bothAandBaretrue.Chapter11-TheEfficientMarketHypothesis11-325.StudiesofnegativeearningssurpriseshaveshownthatthereisA.anegativeabnormalreturnonthedaynegativeearningssurprisesareannounced.B.apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.D.bothAandBaretrue.26.StudiesofstockpricereactionstonewsarecalledB.eventstudies.27.OnNovember22,2005thestockpriceofWalmartwas$39.50andtheretailerstockindexwas600.30.OnNovember25,2005thestockpriceofWalmartwas$40.25andtheretailerstockindexwas605.20.ConsidertheratioofWalmarttotheretailerindexonNovember22andNovember25.Walmartis_______theretailindustryandtechnicalanalystswhofollowrelativestrengthwouldadvise_______thestock.A.outperforming,buying28.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.securitypricesreactquicklytonewinformationB.securitypricesareseldomfaraboveorbelowtheirjustifiedlevelsC.securityanalystswillnotenableinvestorstorealizesuperiorreturnsconsistentlyE.A,B,andC32.TheweakformoftheefficientmarkethypothesisassertsthatB.futurechangesinstockpricescannotbepredictedfrompastprices.C.technicianscannotexpecttooutperformthemarket.E.BandC33.AsupportlevelisthepricerangeatwhichatechnicalanalystwouldexpecttheC.demandforastocktoincreasesubstantially.34.Afindingthat_________wouldprovideevidenceagainstthesemistrongformoftheefficientmarkettheory.A.lowP/Estockstendto