Reading 54: Efficient Capital Markets LOSb习题精选 2010, hypothesis, efficient, security

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LOS b, (Part 1): Describe the tests used to examine each of the three forms of the EMH.

Which form(s) of the efficient market hypothesis (EMH) is (are) tested by measuring a security’s excess returns with respect to market returns while considering the security’s market risk?

A) Semi-strong form.

B) Weak-form.

C) Weak and semi-strong forms.

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One set of tests for the semi-strong form of the EMH examines security performance adjusted for market risk.

 

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Which of the following statements regarding capital market efficiency is most accurate?

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

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

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

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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.

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

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

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

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

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

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Which of the following statements is least accurate with regard to the tests for the three forms of the efficient market hypothesis?

A) The historical performance of professional money managers supports the strong form of the EMH.

B) The tests for the semi-strong form EMH give mixed results. Time-series tests such as dividend yield and default spread reject the semi-strong form EMH and event studies on stock splits and announcements of accounting changes support it.

C) Results of trading rule tests, such as filter rules, support the semi-strong form of the EMH.

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Results of trading rule tests, such as filter rules, support the weak form of the EMH.

The other choices are true. Tests show that professional money managers perform no better than a random buy and hold strategy. This supports the strong form EMH contention that stock prices reflect all information, public and private. (Aside from corporate insiders and specialists, no group has monopolistic access to information that would result in superior returns.)

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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.

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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) weak-form of the EMH.

B) semistrong-form of the EMH.

C) strong-form of the EMH.

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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.

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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.

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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.

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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.

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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]