答案和详解如下： 1.Which of the following is least likely a reason that investors should be skeptical of reported market anomalies? A) Strategy risk. B) Synchronous trading. C) Data mining. D) Small sample bias. The correct answer was B) Nonsynchronous trading is a reason to be skeptical of market anomalies. For stocks that trade infrequently, closing prices may be prices from much earlier in the day. Using these “stale” prices can make strategies appear attractive that are not. Assuming that one could actually trade at closing prices at or near the close of the market may make a strategy look profitable when the strategy could not really be implemented.
2.Which of the following statements concerning efficient markets and anomalies is the least likely to be correct?
A) Processing information has a cost and takes time, so some market participants may be rewarded for performing fundamental analysis if they act quickly. B) Strategy risk refers to the fact that the model used to adjust for risk may not be correctly specified. C) Inefficient prices can persist if the gains to be made from exploiting them are less than the transaction costs. D) The arbitrage required to exploit an anomaly may not be riskless because there is no guarantee that the price will return to fair value. The correct answer was B) Strategy risk refers to the fact that anomalous behavior identified in historical data may not persist into the future, or, at least, during the timeframe within which the strategy is executed. Incorrectly specifying the risk-adjustment mechanism is a modeling issue.
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发表于 2008-4-10 09:37
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