投资学精要(博迪)(第五版)习题答案英文版chapter8

EssentialsofInvestments(BKM5thEd.)AnswerstoSelectedProblems–Lecture5Chapter8:2.Zero.Ifnot,onecouldusereturnsfromoneperiodtopredictreturnsinlaterperiodsandmakeabnormalprofits.3.c.“TheJanuaryEffect”impliesthatonecanpredictJanuarypricesbasedonpastJanuaryprices.Thisisapredictablepatterninreturnswhichshouldnotoccurifweak-formEMHisvalid.4.c.Thisisaclassicfilterrulewhichshouldnotbeprofitableinanefficientmarket.7.c.TheP/Eratioispublicinformationandshouldnotpredictabnormalsecurityreturns.8.No.Thisempiricaltendencydoesnotprovideinvestorswithatooltoearnabnormalreturns-inotherwords,itdoesnotsuggestthatinvestorsarefailingtouseallavailableinformation.Youcouldnotusethisinformationtochooseundervaluedstockstoday.Thisphenomenonactuallyreflectsthefactthatstocksplitsusuallyoccurbecausethefirmhasperformedwellinthepast.9.No.Thisempiricaltendencydoesnotprovideinvestorsatooltoearnabnormalreturns--inotherwords,itdoesnotsuggestthatinvestorsarefailingtouseallavailableinformation.Youcouldnotusethisphenomenontochooseundervaluedstockstoday.Thephenomenoninsteadreflectsthefactthatstocksplitsoccurasaresponsetogoodperformance(positiveabnormalreturns)whichdrivesupthestockpriceaboveadesiredtradingrangeandleadsmanagerstosplitthestock.Afterthefact,thestocksthathappentohaveperformedthebestwillbesplitcandidates,butthisdoesnotimplythatyoucanidentifythebestperformersearlyenoughtoearnabnormalreturns.14.Buy.Thefirmisinyourviewnotasbadaseveryoneelsebelievesittobe.Therefore,youviewthefirmasundervaluedbythemarket.Youarelesspessimisticaboutthefirm’sprospectsthanthebeliefsbuiltintothestockprice.16.a)Thegrandsonisreferringto(i)thesmall-firmeffect(whichcanalsobedescribedastheJanuaryeffect)and(ii)theweekendanomaly.b)1-Buildingaportfolioofonlysmallfirmsresultsinincreasedrisk,astheportfolioislessdiversified.2-Becausetheanomalyhasexistedinthepastisnotapredictorthattheanomalywillexistinthefuture.3-Aftertheresultsofthesestudiesbecamepubliclyknown,investorsmaybidupthepricesofthesesecuritiestoreflectthenow-knownopportunity.17.a.Consistent.Halfofmanagersshouldbeatthemarketbasedonpureluckinanyyear.b.Inconsistent.Thiswouldbethebasisofaneasymoneyrule:simplyinvestwithlastyear'sbestmanagers.c.Consistent.Predictablevolatilitydoesnotconveyameanstoearnabnormalreturns.d.Inconsistent.TheabnormalperformanceoughttooccurinJanuarywhenearningsareannounced.e.Inconsistent.Reversalsofferameanstoearneasymoney:justbuylastweek'slosers.21.Ifonecouldexpecttheeffectstocontinueinthefuture,thefirmmightwishtoaddmoresmallfirmsandmorefirmswithlowP/Eratiostotheirportfolio.However,indoingso,thefirmmustbecertainthatitisnottakingonmoreriskandachievinglessdiversificationthandesired.Thatis,smallfirmsaremoreriskythanlargerfirms;also,thereissomeindicationthatlowP/Eratiofirmssellforlowerpricesbecausethesefirmsaremorerisky.Inaddition,byinvestingheavilyinsmallfirms,aportfoliomanagerisinvestingheavilyinsimilartypefirmsandthusdecreasingdiversification(andincreasingrisk).22.Thefirmmightnotwanttoadoptthisnewstrategyforthefollowingreasons:(1)thediversificationoftheportfoliowouldlikelydecreaseresultinginmoreriskintheportfolio-inotherwords,therisk-adjustedperformancemaynotbehigher,(2)investmentconstraintswrittenintothestatementofinvestmentpolicymightmakeitnecessarytoobtainpermissionfromthefundownerstoimplementsuchastrategy,(3)theseeffectsmaynotcontinueinthefuturenowthattheyarewidelyknown.