Which of the following statements about the assumptions of efficient capital markets and the conclusion of the efficient market hypothesis is FALSE?
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A) |
If markets are efficient, investors should not trade often. |
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B) |
In testing for semistrong-form market efficiency, researchers typically adjust for the stock's risk. |
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C) |
If markets are informationally efficient, the price will react quickly to new information. |
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D) |
Tests of market efficiency have found no strategy that produces excess returns above the market after accounting for transaction costs. |
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Your answer: D was correct!
Several strategies have been shown to produce abnormal returns (returns above the market after adjusting for risk). Small firms and firms with low price to earnings (P/E) ratios and high book-to-market values have all been found to produce positive abnormal returns. | 
发表于 2006-4-27 14:53
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