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) Semi-strong form.

B) Weak-form.

C) Weak and semi-strong forms.

A stock's abnormal rate of return is defined as the:

A) rate of return during abnormal price movements.

B) actual rate of return less the expected risk-adjusted rate of return.

C) expected risk-adjusted rate of return minus the market rate of return.

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) Filter rules in stock trading have been shown to produce above-average rates of return, even after including transactions costs.

C) Efficient capital markets assume that information comes to the market in a random fashion.

If statistical tests of stock returns over time support the efficient market hypothesis, the resulting correlations should be:

A) lagged.

B) positive.

C) zero.

Tests of trading rules based on available market data are tests of which form of the efficient markets hypothesis (EMH)?

A) They are used to test all three forms.

B) Weak-form.

C) Semistrong-form.

“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.

Which of the following are examples of tests used to examine the statistical independence of past returns?

A) Filter rules tests.

B) Runs tests.

C) Event study tests.

A trading rule which signals purchase of a stock if it rises X percent and sale of stock if it falls X percent is known as a:

A) breakout.

B) sieve.

C) filter.

A “runs test” on successive stock price changes which supports the efficient market hypothesis would show that the actual number of runs:

A) is small.

B) falls into the range expected of a dependent series.

C) falls into the range expected of a random series.

Which of the following statements about the efficient market hypothesis is least accurate?

A) Efficient markets tests have found that professional money managers, as a group, have consistently outperformed the market.

B) Exchange specialists derive above-average returns from private information.

C) The use of a price weighting versus a market value weighting produces a downward bias on the index.

Which category of tests assumes that, in an efficient market, securities lie on the security market line?

A) Cross-sectional tests.

B) Anomaly studies.

C) Time-series tests.

Which of the following has least likely been involved in a direct test of the semistrong form of the efficient market hypothesis (EMH)?

A) Exchange listing.

B) Stock splits.

C) NYSE Specialists' returns.

Which of the following forms of the EMH assumes that no group of investors has monopolistic access to relevant information?

A) Weak-form.

B) Strong-form.

C) Both weak and semistrong form.

Which of the following tests are NOT used to examine the weak form of the efficient market hypothesis? Those that examine:

A) a security's return relative to the market return.

B) whether security returns are independent over time.

C) whether excess returns can be obtained from using mechanical trading rules.

Which of the following statements about the various tests of the efficient market hypothesis (EMH) is INCORRECT?

A) The historical performance of professional money managers supports the semi-strong form of the EMH.

B) Tests of the semi-strong form EMH give mixed results. Time-series tests such as dividend yield and default spread reject the semi-strong form EMH while event studies of stock splits and announcements of accounting changes support it.

C) The superior historical performance of exchange specialists and corporate insiders rejects the semi-strong form of the EMH.

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

A) Calendar studies.

B) Small-firm effect.

C) Short-term stock splits.

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

A) size effect.

B) large firm effect.

C) growth effect.

The opportunity to take advantage of the downward pressure on stock prices that result from end-of-the-year tax selling is known as the:

A) end-of-the-year effect.

B) end-of-the-year anomaly.

C) January anomaly.

Which of the following groups of stocks do NOT tend to show above average returns over time?

A) Stocks with low Book Value to Market Value (BV/MV).

B) Small stocks.

C) Neglected stocks.

Which of the following would provide evidence against the semistrong form of the efficient market theory?

A) Trend analysis is worthless in determining stock prices.

B) All investors have learned to exploit signals related to future performance.

C) Low P/E stocks tend to have positive abnormal returns over the long run.

Many academics claim that a particular anomaly's results reflect the inability of the asset pricing model to provide a complete measure of risk. Which of the following anomalies are the academics discussing?

A) The size effect.

B) Initial public offerings.

C) The neglected firm effect.

Documented market anomalies include all of the following EXCEPT:

A) firms with only a small number of analysts following them have abnormally high returns.

B) the greater the ratio of book value/market value, the greater the risk-adjusted rate of return.

C) the ability for an investor to profit by buying stocks on Friday and selling them on Monday.

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.

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.

Which of the following statements about the efficient market hypothesis is least accurate?

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

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

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

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

A) Semistrong-form.

B) They are used to test all three forms.

C) Weak-form.

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.

Which of the following statements about efficient markets and indexes is least accurate?

A) If markets are efficient, investors should not trade often.

B) An unweighted index assumes that investors make and maintain an equal dollar investment in each stock in the index.

C) Efficient markets tests have found that stocks with high price-to-earnings ratios (P/E) tend to outperform stocks with low P/E ratios.

Which of the following statements about the efficient market hypothesis, security markets, options, and real estate is least accurate?

A) Efficient market studies have found that no trading strategy outperforms the market.

B) Returns on real estate investments typically have low correlations with returns on stocks and bonds.

C) The depth of the market is typically defined as the number of traders willing to trade at prices above and below the current price.

[此贴子已经被作者于2010-4-22 14:30:01编辑过]

Which of the following statements about the implications of tests for the efficient market hypothesis (EMH) is least accurate?

A) The best way to measure the performance of investments professionals is against a randomly selected buy-hold strategy of stocks (assuming the same risk level).

B) Other than corporate insiders and market specialists, most traders have monopolistic access to information, which rejects the strong-form EMH.

C) By purchasing an index fund, an investor can match the market return and minimize costs.

Studies from which form(s) of the efficient market hypothesis (EMH) provide evidence that security prices adjust so quickly to a public announcement that it is not possible for investors to realize significant abnormal returns after a public announcement has been made?

A) weak-form of the EMH.

B) semistrong-form of the EMH.

C) strong-form of the EMH.

Which of the following statements regarding capital market efficiency is most accurate?

A) Event studies and time series tests provide evidence that markets do not tend to be semi-strong form efficient.

B) Study results generally do not support the strong form of the efficient market hypothesis.

C) Corporate insiders and stock exchange specialists have monopolistic access to information that can be used to obtain positive abnormal returns.

Which of the following statements describes the overall conclusions regarding the weak-form of the efficient market hypothesis (EMH)?

A) Most evidence indicates that after incorporating trading costs, simple trading rules do not generate positive abnormal profits.

B) Corporate insiders and exchange specialists have monopolistic access to highly valuable information.

C) All evidence indicates that simple trading rules generate positive abnormal returns.

Which of the following statements is least accurate with regard to the tests for the three forms of the efficient market hypothesis?

A) The historical performance of professional money managers supports the strong form of the EMH.

B) The tests for the semi-strong form EMH give mixed results. Time-series tests such as dividend yield and default spread reject the semi-strong form EMH and event studies on stock splits and announcements of accounting changes support it.

C) Results of trading rule tests, such as filter rules, support the semi-strong form of the EMH.