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Q8. Documented market anomalies include all of the following EXCEPT: ffice ffice" />
A) the ability for an investor to profit by buying stocks on Friday and selling them on Monday.
B) firms with only a small number of analysts following them have abnormally high returns.
C) the greater the ratio of book value/market value, the greater the risk-adjusted rate of return.
Correct answer is A)
The weekend effect actually shows that there is a negative return from buying stocks on Friday and selling them on Monday. The book value/market value ratio effect and the neglected firm effect are both documented market anomalies.
Q9. Which of the following conclusions about the semistrong form of the efficient market hypothesis (EMH) and the strong-form EMH is least accurate?
A) Some tests reject the semistrong form of market efficiency.
B) Neglected firms (i.e., those firms with a small number of analysts following them) tend to underperform the market.
C) If the strong form of market efficiency were true, there would be no need for insider trading laws.
Correct answer is B)
Neglected firms tend to outperform the market.
Q10. Which of the following statements about the semistrong-form efficient market hypothesis (EMH) and the strong-form EMH is least accurate?
A) Tests have found that stocks with low price to earning (P/E) ratios tend to outperform stocks with high P/E ratios.
B) The "Heard on the Street" column in the Wall Street Journal appears to move stocks.
C) Small firms tend to underperform large firms on a risk-adjusted basis.
Correct answer is C)
Small firms tend to outperform large stocks on a risk-adjusted basis.
Q11. Which of the following statements about the efficient market hypothesis is least accurate?
A) Studies of market anomalies have found a positive return between the Friday close and the Monday open, known as the weekend effect.
B) The evidence suggests that stock markets are weak-form efficient.
C) Tests of independence in stock returns have found no autocorrelation.
Correct answer is A)
Studies of market anomalies have found a negative return between the Friday close and the Monday open. This is known as the weekend effect.
Q12. Tests using quarterly earnings reports are tests of which form(s) of the efficient markets hypothesis (EMH)?
A) They are used to test all three forms.
B) Weak-form.
C) Semistrong-form.
Correct answer is C)
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.
Q13. 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.
Correct answer is A)
These tests are related to the semi-strong form of the EMH, because they all examine publicly available information.
Q14. Which of the following statements about efficient markets and indexes is least accurate?
A) Efficient markets tests have found that stocks with high price-to-earnings ratios (P/E) tend to outperform stocks with low P/E ratios.
B) If markets are efficient, investors should not trade often.
C) An unweighted index assumes that investors make and maintain an equal dollar investment in each stock in the index.
Correct answer is A)
Tests show that low P/E ratio stocks outperform high P/E ratio stocks.
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发表于 2009-3-2 13:21
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