honeycfa

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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Many academics believe that the size effect is an anomaly due to the capital asset pricing model's (CAPM) inability to provide a complete measure of risk.

honeycfa

Documented market anomalies include all of the following EXCEPT:

A) firms with only a small number of analysts following them have abnormally high returns.

B) the greater the ratio of book value/market value, the greater the risk-adjusted rate of return.

C) the ability for an investor to profit by buying stocks on Friday and selling them on Monday.

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The weekend effect actually shows that there is a negative return from buying stocks on Friday and selling them on Monday. The book value/market value ratio effect and the neglected firm effect are both documented market anomalies.

honeycfa

Which of the following conclusions about the semistrong form of the efficient market hypothesis (EMH) and the strong-form EMH is least accurate?

A) Some tests reject the semistrong form of market efficiency.

B) Neglected firms (i.e., those firms with a small number of analysts following them) tend to underperform the market.

C) If the strong form of market efficiency were true, there would be no need for insider trading laws.

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Neglected firms tend to outperform the market.

honeycfa

Which of the following statements about the semistrong-form efficient market hypothesis (EMH) and the strong-form EMH is least accurate?

A) Tests have found that stocks with low price to earning (P/E) ratios tend to outperform stocks with high P/E ratios.

B) The "Heard on the Street" column in the Wall Street Journal appears to move stocks.

C) Small firms tend to underperform large firms on a risk-adjusted basis.

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Small firms tend to outperform large stocks on a risk-adjusted basis.

honeycfa

Which of the following statements about the efficient market hypothesis is least accurate?

A) The evidence suggests that stock markets are weak-form efficient.

B) Tests of independence in stock returns have found no autocorrelation.

C) Studies of market anomalies have found a positive return between the Friday close and the Monday open, known as the weekend effect.

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Studies of market anomalies have found a negative return between the Friday close and the Monday open. This is known as the weekend effect.

honeycfa

Tests using quarterly earnings reports are tests of which form(s) of the efficient markets hypothesis (EMH)?

A) Semistrong-form.

B) They are used to test all three forms.

C) Weak-form.

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The semistrong form of the EMH asserts that security prices fully reflect all publicly available information. Announcement type information such as that related to earnings is an example of publicly available information.

honeycfa

The January Anomaly, the neglected firm effect, and the book value/market value ratio are studies examining which form of the EMH?

A) Semistrong-form of the EMH.

B) Weak-form of the EMH.

C) Both the weak and semistrong forms of the EMH.

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These tests are related to the semi-strong form of the EMH, because they all examine publicly available information.

honeycfa

Which of the following statements about efficient markets and indexes is least accurate?

A) If markets are efficient, investors should not trade often.

B) An unweighted index assumes that investors make and maintain an equal dollar investment in each stock in the index.

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.

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Tests show that low P/E ratio stocks outperform high P/E ratio stocks.

honeycfa

LOS b, (Part 3): Explain the overall conclusions about each form of the EMH.

Which of the following statements about the efficient market hypothesis, security markets, options, and real estate is least accurate?

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

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

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

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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.

[此贴子已经被作者于2010-4-22 14:30:01编辑过]

honeycfa

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

A) 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).

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

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

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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.