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LOS b, (Part 1): Describe the tests used to examine each of the three forms of the EMH.
Q1. 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) Weak-form.
B) Semi-strong form.
C) Weak and semi-strong forms.
Q2. A stock's abnormal rate of return is defined as the:
A) actual rate of return less the expected risk-adjusted rate of return.
B) rate of return during abnormal price movements.
C) expected risk-adjusted rate of return minus the market rate of return.
Q3. Which of the following statements about efficient capital markets and the efficient market hypothesis is least accurate?
A) The semistrong form of the market efficiency hypothesis states that prices fully reflect all information from public sources.
B) Efficient capital markets assume that information comes to the market in a random fashion.
C) Filter rules in stock trading have been shown to produce above-average rates of return, even after including transactions costs.
Q4. If statistical tests of stock returns over time support the efficient market hypothesis, the resulting correlations should be:
A) lagged.
B) zero.
C) positive.
Q5. Tests of trading rules based on available market data are tests of which form of the efficient markets hypothesis (EMH)?
A) Weak-form.
B) They are used to test all three forms.
C) Semistrong-form.
Q6. “Runs tests” involve which form of the efficient markets hypothesis (EMH)?
A) They are used to test all three forms.
B) Weak-form.
C) Semistrong-form.
Q7. Which of the following are examples of tests used to examine the statistical independence of past returns?
A) Filter rules tests.
B) Event study tests.
C) Runs tests.
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发表于 2009-3-2 13:16
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