答案和详解如下： 11.Which of the following statements about the semistrong-form efficient market hypothesis (EMH) and the strong-form EMH is FALSE? A) Small firms tend to underperform large firms on a risk-adjusted basis. B) Tests have found that stocks with low price to earning (P/E) ratios tend to outperform stocks with high P/E ratios. C) The "Heard on the Street" column in the Wall Street Journal appears to move stocks. D) The strong form of the market efficiency hypothesis states that security prices fully reflect all public and private information. The correct answer was A) Small firms tend to outperform large stocks on a risk-adjusted basis.
12.Which of the following conclusions about the semistrong form of the efficient market hypothesis (EMH) and the strong-form EMH is FALSE?
A) If the strong form of market efficiency were true, there would be no need for insider trading laws. B) Neglected firms (i.e., those firms with a small number of analysts following them) tend to underperform the market. C) Some tests reject the semistrong form of market efficiency. D) Professional money managers, as a group, have not been able to produce returns that consistently exceed the market. The correct answer was B) Neglected firms tend to outperform the market.
13.Which of the following statements about efficient markets and indexes is FALSE?
A) If markets are efficient, investors should not trade often. B) External efficiency means prices adjust rapidly to new information. C) Efficient markets tests have found that stocks with high price-to-earnings ratios (P/E) tend to outperform stocks with low P/E ratios. D) An unweighted index assumes that investors make and maintain an equal dollar investment in each stock in the index. The correct answer was C) Tests show that low P/E ratio stocks outperform high P/E ratio stocks.
14.Which of the following statements about the various tests of the efficient market hypothesis (EMH) is INCORRECT?
A) Tests of the semi-strong form EMH give mixed results. Time-series tests such as dividend yield and default spread reject the semi-strong form EMH while event studies of stock splits and announcements of accounting changes support it. B) Statistical and trading rule tests support the weak-form of the EMH. C) The superior historical performance of exchange specialists and corporate insiders rejects the semi-strong form of the EMH. D) The historical performance of professional money managers supports the semi-strong form of the EMH. The correct answer was C) The superior historical performance of exchange specialists and corporate insiders rejects the strong form of the EMH. The other statements are correct. Statistical and trading rule tests support the weak-form EMH contention that security prices reflect all historical market information and that mechanical trading rules do not result in superior returns. Cross-sectional tests such as the price-earnings ratio, neglected firms tests, and book value to market value tests reject the semi-strong form of the EMH. These tests show that certain stocks have high realized returns (for example, low P/E stocks and high book value to market value stocks). Tests show that professional money managers perform no better than a random buy and hold strategy. This supports the semi-strong form EMH contention that stock prices reflect all public information. (Aside from corporate insiders and specialists, no group has monopolistic access to information that would result in superior returns.) | 
发表于 2008-4-9 11:35
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