1.Which of the following statements about the efficient market hypothesis, security markets, options, and real estate is FALSE?

A)   The depth of the market is typically defined as the number of traders willing to trade at prices above and below the current price.

B)   Warrants are very similar to call options except that they are issued by the firm and typically have longer maturities than call options.

C)   Returns on real estate investments typically have low correlations with returns on stocks and bonds.

D)   Efficient market studies have found that no trading strategy outperforms the market.

2.Which of the following statements describes the overall conclusions regarding the weak-form of the efficient market hypothesis (EMH)?

A)   All evidence indicates that simple trading rules generate positive abnormal returns.

B)   Stock exchange specialists using monopolistic information contained in the limit order book derive above average returns.

C)   Most evidence indicates that after incorporating trading costs, simple trading rules do not generate positive abnormal profits.

D)   Corporate insiders and exchange specialists have monopolistic access to highly valuable information.

3.Which of the following statements regarding capital market efficiency is TRUE?

A)   Study results generally do not support the strong form of the efficient market hypothesis.

B)   Event studies and time series tests provide evidence that markets do not tend to be semi-strong form efficient.

C)   Corporate insiders and stock exchange specialists have monopolistic access to information that can be used to obtain positive abnormal returns.

D)   Study results indicate the use of trading rules are able to consistently beat a buy-and-hold policy even when trading commissions are considered.

4.Studies from which form(s) of the efficient market hypothesis (EMH) provide evidence that security prices adjust so quickly to a public announcement that it is not possible for investors to realize significant abnormal returns after a public announcement has been made?

A)   semistrong-form of the EMH.

B)   weak-form of the EMH.

C)   strong-form of the EMH.

D)   weak- and strong-forms of the EMH.

5.Which of the following statements about the implications of tests for the efficient market hypothesis (EMH) is least accurate?

A)   By purchasing an index fund, an investor can match the market return and minimize costs.

B)   Other than corporate insiders and market specialists, most traders have monopolistic access to information, which rejects the strong-form EMH.

C)   Technical trading rules do not consistently provide excess returns after adjusting for trading costs and taxes.

D)   The best way to measure the performance of investments professionals is against a randomly selected buy-hold strategy of stocks (assuming the same risk level).

答案和详解如下：

1.Which of the following statements about the efficient market hypothesis, security markets, options, and real estate is FALSE?

A)   The depth of the market is typically defined as the number of traders willing to trade at prices above and below the current price.

B)   Warrants are very similar to call options except that they are issued by the firm and typically have longer maturities than call options.

C)   Returns on real estate investments typically have low correlations with returns on stocks and bonds.

D)   Efficient market studies have found that no trading strategy outperforms the market.

The correct answer was D)

There are several efficient market anomalies (i.e., those that produce above-average returns) including the size effect, the P/E effect, and the book-to-market value effect.

2.Which of the following statements describes the overall conclusions regarding the weak-form of the efficient market hypothesis (EMH)?

A)   All evidence indicates that simple trading rules generate positive abnormal returns.

B)   Stock exchange specialists using monopolistic information contained in the limit order book derive above average returns.

C)   Most evidence indicates that after incorporating trading costs, simple trading rules do not generate positive abnormal profits.

D)   Corporate insiders and exchange specialists have monopolistic access to highly valuable information.

The correct answer was C)

Positive returns cannot be obtained thru the use of simple trading rules, since this pertains to the weak-form EMH.

3.Which of the following statements regarding capital market efficiency is TRUE?

A)   Study results generally do not support the strong form of the efficient market hypothesis.

B)   Event studies and time series tests provide evidence that markets do not tend to be semi-strong form efficient.

C)   Corporate insiders and stock exchange specialists have monopolistic access to information that can be used to obtain positive abnormal returns.

D)   Study results indicate the use of trading rules are able to consistently beat a buy-and-hold policy even when trading commissions are considered.

The correct answer was C)

In general, study results support the strong form of the efficient market hypothesis. Exceptions include corporate insiders and exchange specialists since they appear to have monopolistic access to important information that may allow them to achieve positive abnormal returns.

4.Studies from which form(s) of the efficient market hypothesis (EMH) provide evidence that security prices adjust so quickly to a public announcement that it is not possible for investors to realize significant abnormal returns after a public announcement has been made?

A)   semistrong-form of the EMH.

B)   weak-form of the EMH.

C)   strong-form of the EMH.

D)   weak- and strong-forms of the EMH.

The correct answer was A)

Event study results provide strong evidence in support of the semistrong-form of the EMH. However, time series and cross-sectional tests provide mixed evidence of semi-strong form efficiency.

5.Which of the following statements about the implications of tests for the efficient market hypothesis (EMH) is least accurate?

A)   By purchasing an index fund, an investor can match the market return and minimize costs.

B)   Other than corporate insiders and market specialists, most traders have monopolistic access to information, which rejects the strong-form EMH.

C)   Technical trading rules do not consistently provide excess returns after adjusting for trading costs and taxes.

D)   The best way to measure the performance of investments professionals is against a randomly selected buy-hold strategy of stocks (assuming the same risk level).

The correct answer was B)

Other than corporate insiders and market specialists, no other group has monopolistic access to information, which supports the strong-form EMH. The other statements are true.