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LOS c, (Part 2): Explain the implications of stock market efficiency for the portfolio management process and the role of the portfolio manager.
Q1. Under the efficient market hypothesis (EMH), the major effort of the portfolio manager should be to:
A) achieve complete diversification of the portfolio.
B) minimize systematic risk in the portfolio.
C) stay the course by following a strict buy and hold strategy.
Q2. Which of the following statements about the assumptions of efficient capital markets and the conclusion of the efficient market hypothesis is least accurate?
A) If markets are efficient, investors should not trade often.
B) Tests of market efficiency have found no strategy that produces excess returns above the market after accounting for transaction costs.
C) In testing for semistrong-form market efficiency, researchers typically adjust for the stock's risk.
Q3. In a perfectly efficient market, portfolio managers should do all of the following EXCEPT:
A) monitor their client's needs and circumstances.
B) quantify their risk and return needs within the bounds of the client's liquidity, income, time horizon, legal, and regulatory constraints.
C) diversify to eliminate systematic risk.
Q4. An implication of the weak-form efficient market hypothesis (EMH) is:
A) that there should be no relationship between past price changes and future price changes.
B) insider information is of no value for obtaining excess abnormal returns.
C) that technical analysts can make excess returns on filter rules but not runs rules.
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发表于 2009-3-2 13:26
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