投资学题库Chap008

Chapter08-TheEfficientMarketHypothesis8-1CHAPTER08THEEFFICIENTMARKETHYPOTHESIS1.Thecorrelationcoefficientshouldbezero.Ifitwerenotzero,thenonecouldusereturnsfromoneperiodtopredictreturnsinlaterperiodsandthereforeearnabnormalprofits.2.Thephrasewouldbecorrectifitweremodifiedtosay“expectedriskadjustedreturns.”Securitiesallhavethesameriskadjustedexpectedreturn,however,actualresultscananddovary.Unknowneventscausecertainsecuritiestooutperformothers.Thisisnotknowninadvancesoexpectationsaresetbyknowninformation.3.Overthelonghaul,thereisanexpectedupwarddriftinstockpricesbasedontheirfairexpectedratesofreturn.Thefairexpectedreturnoveranysingledayisverysmall(e.g.,12%peryearisonlyabout0.03%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.cThisisapredictablepatterninreturns,whichshouldnotoccurifthestockmarketisweaklyefficient.Chapter08-TheEfficientMarketHypothesis8-211.cThisisaclassicfilterrule,whichwouldappeartocontradicttheweakformoftheefficientmarkethypothesis.12.cTheP/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.Thiswouldbethebasisforaneasymoneyrule:simplyinvestwithlastyear'sbestmanagers.d.Consistent.Predictablevolatilitydoesnotconveyameanstoearnabnormalreturns.e.Violation.TheabnormalperformanceoughttooccurinJanuary,whentheincreasedearningsareannounced.f.Violation.Reversalsofferameanstoearneasymoney:simplybuylastweek'slosers.Chapter08-TheEfficientMarketHypothesis8-317.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.Youarelesspessimisticaboutth