答案和详解如下： 1.Documented market anomalies include all of the following EXCEPT: A) the greater the ratio of book value/market value, the greater the risk-adjusted rate of return. B) low P/E ratio stocks experience superior results to the market. C) the ability for an investor to profit by buying stocks on Friday and selling them on Monday. D) firms with only a small number of analysts following them have abnormally high returns. The correct answer was C) The weekend effect actually shows that there is a negative return from buying stocks on Friday and selling them on Monday. The book value /market value ratio effect, the neglected firm effect, and the P/E ratio effect are all documented market anomalies.
2.Many academics claim that a particular anomaly's results reflect the inability of the asset pricing model to provide a complete measure of risk. Which of the following anomalies are the academics discussing?
A) The size effect. B) Stock splits. C) The neglected firm effect. D) Initial public offerings. The correct answer was A) Many academics believe that the size effect is an anomaly due to the capital asset pricing model's (CAPM) inability to provide a complete measure of risk.
3.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. D) About 50% of pension funds outperform the market in any year. The correct answer was A) 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.
4.Which of the following groups of stocks do NOT tend to show above average returns over time?
A) Stocks with low Book Value to Market Value (BV/MV). B) Neglected stocks. C) Small stocks. D) Low P/E stocks. The correct answer was A) Most empirical evidence suggests that the greater the ratio of book value/market value, the greater the risk adjusted rate of return. Small, neglected and low P/E stocks have all shown evidence of excess returns.
5.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 anomaly. B) December anomaly. C) end-of-the-year effect. D) January anomaly. The correct answer was D) 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. | 
发表于 2008-4-9 11:32
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