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LOS c: Explain why an apparent anomoly may be justified and describe the common biases that distort testing for mispricings.
Q1. Which of the following statements concerning efficient markets and anomalies is the least likely to be correct?
A) The arbitrage required to exploit an anomaly may not be riskless because there is no guarantee that the price will return to fair value.
B) Strategy risk refers to the fact that the model used to adjust for risk may not be correctly specified.
C) Processing information has a cost and takes time, so some market participants may be rewarded for performing fundamental analysis if they act quickly.
Q2. Which of the following is least likely a reason that investors should be skeptical of reported market anomalies?
A) Data mining.
B) Synchronous trading.
C) Strategy risk.
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发表于 2009-3-2 13:35
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