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LOS b, (Part 2): Identify various market anomalies and explain their implications for the EMH.
Q1. Which of the following statements about the various tests of the efficient market hypothesis (EMH) is INCORRECT?
A) The historical performance of professional money managers supports the semi-strong form of the EMH.
B) The superior historical performance of exchange specialists and corporate insiders rejects the semi-strong form of the EMH.
C) 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.
Q2. Which of the following efficient markets studies suggests that securities markets are semistrong-form efficient?
A) Calendar studies.
B) Small-firm effect.
C) Short-term stock splits.
Q3. Banz and Reinganum found that small firms consistently outperformed large firms. This anomaly is referred to as the:
A) large firm effect.
B) size effect.
C) growth effect.
Q4. 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) January anomaly.
B) end-of-the-year effect.
C) end-of-the-year anomaly.
Q5. Which of the following groups of stocks do NOT tend to show above average returns over time?
A) Small stocks.
B) Stocks with low Book Value to Market Value (BV/MV).
C) Neglected stocks.
Q6. Which of the following would provide evidence against the semistrong form of the efficient market theory?
A) Trend analysis is worthless in determining stock prices.
B) Low P/E stocks tend to have positive abnormal returns over the long run.
C) All investors have learned to exploit signals related to future performance.
Q7. 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) Initial public offerings.
C) The neglected firm effect.
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发表于 2009-3-2 13:19
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