Reading 54: Efficient Capital Markets - LOS b, (Part 2) ～ black, class

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6.Banz and Reinganum found that small firms consistently outperformed large firms. This anomaly is referred to as the:

A)   growth effect.

B)   P/E effect.

C)   large firm effect.

D)   size effect.

7.Which of the following efficient markets studies suggests that securities markets are semistrong-form efficient?

A)   Small-firm effect.

B)   Short-term stock splits.

C)   Neglected-firm effect.

D)   Calendar studies.

8.The January Anomaly, the neglected firm effect, and the book value/market value ratio are studies examining which form of the EMH?

A)   Weak-form of the EMH.

B)   Strong-form of the EMH.

C)   Both the weak and semistrong forms of the EMH.

D)   Semistrong-form of the EMH.

9.Tests using quarterly earnings reports are tests of which form(s) of the efficient markets hypothesis (EMH)?

A)   Semistrong-form.

B)   Weak-form.

C)   Strong-form.

D)   They are used to test all three forms.

10.Which of the following statements about the efficient market hypothesis is FALSE?

A)   Tests of independence in stock returns have found no autocorrelation.

B)   The evidence suggests that stock markets are weak-form efficient.

C)   Studies of market anomalies have found a positive return between the Friday close and the Monday open, known as the weekend effect.

D)   Tests of market efficiency find that technical analysis will not be of much value to investors.

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答案和详解如下：

6.Banz and Reinganum found that small firms consistently outperformed large firms. This anomaly is referred to as the:

A)   growth effect.

B)   P/E effect.

C)   large firm effect.

D)   size effect.

The correct answer was D)

The size effect indicates that small firms consistently experienced significantly larger risk-adjusted returns than larger firms.

7.Which of the following efficient markets studies suggests that securities markets are semistrong-form efficient?

A)   Small-firm effect.

B)   Short-term stock splits.

C)   Neglected-firm effect.

D)   Calendar studies.

The correct answer was B)

Results of empirical tests suggest that there are no short-run or long-run impacts on security returns due to stock splits. This supports the semistrong-form EMH. Evidence of excess returns has been found for calendar effects, small firms and neglected firms.

8.The January Anomaly, the neglected firm effect, and the book value/market value ratio are studies examining which form of the EMH?

A)   Weak-form of the EMH.

B)   Strong-form of the EMH.

C)   Both the weak and semistrong forms of the EMH.

D)   Semistrong-form of the EMH.

The correct answer was D)

These tests are related to the semi-strong form of the EMH, because they all examine publicly available information.

9.Tests using quarterly earnings reports are tests of which form(s) of the efficient markets hypothesis (EMH)?

A)   Semistrong-form.

B)   Weak-form.

C)   Strong-form.

D)   They are used to test all three forms.

The correct answer was A)

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.

10.Which of the following statements about the efficient market hypothesis is FALSE?

A)   Tests of independence in stock returns have found no autocorrelation.

B)   The evidence suggests that stock markets are weak-form efficient.

C)   Studies of market anomalies have found a positive return between the Friday close and the Monday open, known as the weekend effect.

D)   Tests of market efficiency find that technical analysis will not be of much value to investors.

The correct answer was C)

Studies of market anomalies have found a negative return between the Friday close and the Monday open. This is known as the weekend effect.