11.A stock's abnormal rate of return is defined as the:

A)   rate of return during abnormal price movements.

B)   actual rate of return less the expected risk-adjusted rate of return.

C)   the market rate of return less the actual rate of return.

D)   expected risk-adjusted rate of return minus the market rate of return.

12.Which form(s) of the efficient market hypothesis (EMH) is/are tested by measuring a security’s excess returns with respect to market returns while considering the security’s market risk?

A)   Weak-form.

B)   Semi-strong form.

C)   Strong-form.

D)   Weak and semi-strong forms.

13.Which of the following tests are NOT used to examine the weak form of the efficient market hypothesis? Those that examine:

A)   whether security returns are independent over time.

B)   a security's return relative to the market return.

C)   whether excess returns can be obtained from using mechanical trading rules.

D)   whether stock price changes are independent over time.

14.Which of the following forms of the EMH assumes that no group of investors has monopolistic access to relevant information?

A)   Weak-form.

B)   Strong-form.

C)   Semistrong-form.

D)   Both weak and semistrong form.

答案和详解如下：

11.A stock's abnormal rate of return is defined as the:

A)   rate of return during abnormal price movements.

B)   actual rate of return less the expected risk-adjusted rate of return.

C)   the market rate of return less the actual rate of return.

D)   expected risk-adjusted rate of return minus the market rate of return.

The correct answer was B)

Abnormal return = Actual return – expected risk-adjusted return

12.Which form(s) of the efficient market hypothesis (EMH) is/are tested by measuring a security’s excess returns with respect to market returns while considering the security’s market risk?

A)   Weak-form.

B)   Semi-strong form.

C)   Strong-form.

D)   Weak and semi-strong forms.

The correct answer was B)

One set of tests for the semi-strong form of the EMH examines security performance adjusted for market risk.

13.Which of the following tests are NOT used to examine the weak form of the efficient market hypothesis? Those that examine:

A)   whether security returns are independent over time.

B)   a security's return relative to the market return.

C)   whether excess returns can be obtained from using mechanical trading rules.

D)   whether stock price changes are independent over time.

The correct answer was B) 

Early tests for the semi-strong form of the efficient market hypothesis (EMH) examine security performance relative to the market return. Weak-form EMH tests include auto correlation, run, and trading rule tests.

14.Which of the following forms of the EMH assumes that no group of investors has monopolistic access to relevant information?

A)   Weak-form.

B)   Strong-form.

C)   Semistrong-form.

D)   Both weak and semistrong form.

The correct answer was B)

According to the strong-form EMH, security prices reflect all information, which includes the privately available (monopolistic) information.