Reading 57: Market Efficiency-LOS f 习题精选 2011, identified, efficiency, advantage, possible

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Session 13: Market Organization, Market Indices, and Market Efficiency
Reading 57: Market Efficiency

LOS f: Discuss identified market pricing anomalies and explain possible inconsistencies with market efficiency.

 

 

The opportunity to take advantage of the downward pressure on stock prices that result from end-of-the-year tax selling is known as the:

A) end-of-the-year effect.

B) end-of-the-year anomaly.

C) January anomaly.

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The January Anomaly is most likely the result of tax induced trading at year end. An investor can profit by buying stocks in December and selling them during the first week in January.

 

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Which of the following would provide evidence against the semistrong form of the efficient market theory?

A) Low P/E stocks tend to have positive abnormal returns over the long run.

B) Trend analysis is worthless in determining stock prices.

C) All investors have learned to exploit signals related to future performance.

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P/E information is publicly available information and therefore this test relates to the semistrong-form EMH. Trend analysis is based on historical information and therefore relates to the weak-form EMH. In an efficient market one would expect 50% of pension fund managers to do better than average and 50% of pension fund managers to do worse than average. If all investors exploit the same information no excess returns are possible.