投资学题库.docx
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投资学题库.docx
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投资学题库
Chapter11
TheEfficientMarketHypothesis
?
MultipleChoiceQuestions
?
1.?
Ifyoubelieveinthe________formoftheEMH,youbelievethatstockpricesreflectallrelevantinformationincludinghistoricalstockpricesandcurrentpublicinformationaboutthefirm,butnotinformationthatisavailableonlytoinsiders.?
A.?
Semistrong
2.?
WhenMauriceKendallexaminedthepatternsofstockreturnsin1953heconcludedthatthestockmarketwas__________.Now,theserandompricemovementsarebelievedtobe_________.?
A.?
inefficient;theeffectofawell-functioningmarket
3.?
Thestockmarketfollowsa__________.?
B.?
Submartingale
4.?
Ahybridstrategyisonewheretheinvestor?
D.?
maintainsapassivecoreandaugmentsthepositionwithanactivelymanagedportfolio.
5.?
Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______.?
D.?
zero;positive
6.6.?
Thedifferencebetweenarandomwalkandasubmartingaleistheexpectedpricechangeinarandomwalkis______andtheexpectedpricechangeforasubmartingaleis______.?
D.?
zero;positive
?
7.?
ProponentsoftheEMHtypicallyadvocate?
B.?
investinginanindexfund.
C.?
apassiveinvestmentstrategy.
E.?
BandC
8.?
ProponentsoftheEMHtypicallyadvocate?
C.?
apassiveinvestmentstrategy.
9.?
Ifyoubelieveinthe_______formoftheEMH,youbelievethatstockpricesreflectallinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices,tradingvolumeorshortinterest.?
C.?
Weak
10.?
Ifyoubelieveinthe_________formoftheEMH,youbelievethatstockpricesreflectallavailableinformation,includinginformationthatisavailableonlytoinsiders.?
B.?
strong
?
11.?
Ifyoubelieveinthereversaleffect,youshould?
C.?
buystocksthisperiodthatperformedpoorlylastperiod.
12.?
__________focusmoreonpastpricemovementsofafirm'sstockthanontheunderlyingdeterminantsoffutureprofitability.?
D.?
Technicalanalysts
13.?
_________abovewhichitisdifficultforthemarkettorise.?
B.?
Resistancelevelisavalue
14.?
_________belowwhichitisdifficultforthemarkettofall.?
C.?
Supportlevelisavalue?
15.?
___________thereturnonastockbeyondwhatwouldbepredictedfrommarketmovementsalone.?
A.?
Anexcesseconomicreturnis
C.?
Anabnormalreturnis
E.?
AandC
16.?
Thedebateoverwhethermarketsareefficientwillprobablyneverberesolvedbecauseof________.?
A.?
theluckyeventissue.
B.?
themagnitudeissue.
C.?
theselectionbiasissue.
D.?
alloftheabove.
17.?
Acommonstrategyforpassivemanagementis____________.?
A.?
creatinganindexfund
?
18.?
Arbel(1985)foundthat?
A.?
theJanuaryeffectwashighestforneglectedfirms.
19.?
Researchershavefoundthatmostofthesmallfirmeffectoccurs?
D.?
inJanuary.
20.?
Basu(1977,1983)foundthatfirmswithlowP/Eratios?
A.?
earnedhigheraveragereturnsthanfirmswithhighP/Eratios.
21.?
Jaffe(1974)foundthatstockprices_________afterinsidersintensivelyboughtshares.?
C.?
increased
22.?
Banz(1981)foundthat,onaverage,therisk-adjustedreturnsofsmallfirms?
A.?
werehigherthantherisk-adjustedreturnsoflargefirms.
23.?
ProponentsoftheEMHthinktechnicalanalysts?
E.?
arewastingtheirtime.
24.?
Studiesofpositiveearningssurpriseshaveshownthatthereis?
A.?
apositiveabnormalreturnonthedaypositiveearningssurprisesareannounced.
B.?
apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.
D.?
bothAandBaretrue.
?
25.?
Studiesofnegativeearningssurpriseshaveshownthatthereis?
A.?
anegativeabnormalreturnonthedaynegativeearningssurprisesareannounced.
B.?
apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.
D.?
bothAandBaretrue.
26.?
Studiesofstockpricereactionstonewsarecalled?
B.?
eventstudies.
27.?
OnNovember22,2005thestockpriceofWalmartwas$39.50andtheretailerstockindexwas600.30.OnNovember25,2005thestockpriceofWalmartwas$40.25andtheretailerstockindexwas605.20.ConsidertheratioofWalmarttotheretailerindexonNovember22andNovember25.Walmartis_______theretailindustryandtechnicalanalystswhofollowrelativestrengthwouldadvise_______thestock.?
A.?
outperforming,buying
28.?
WorkbyAmihudandMendelson(1986,1991)?
A.?
arguesthatinvestorswilldemandarateofreturnpremiumtoinvestinlessliquidstocks.
B.?
mayhelpexplainthesmallfirmeffect.
C.?
mayberelatedtotheneglectedfirmeffect.
E.?
A,B,andC.
29.?
FamaandFrench(1992)foundthatthestocksoffirmswithinthehighestdecileofmarket/bookratioshadaveragemonthlyreturnsof_______whilethestocksoffirmswithinthelowestdecileofmarket/bookratioshadaveragemonthlyreturnsof________.?
C.?
lessthan1%,greaterthan1%
30.?
Amarketdeclineof23%onadaywhenthereisnosignificantmacroeconomicevent______consistentwiththeEMHbecause________.?
D.?
wouldnotbe,itwasnotaclearresponsetomacroeconomicnews.
31.?
Inanefficientmarket,__________.?
A.?
securitypricesreactquicklytonewinformation
B.?
securitypricesareseldomfaraboveorbelowtheirjustifiedlevels
C.?
securityanalystswillnotenableinvestorstorealizesuperiorreturnsconsistently
E.?
A,B,andC
32.?
Theweakformoftheefficientmarkethypothesisassertsthat?
B.?
futurechangesinstockpricescannotbepredictedfrompastprices.
C.?
technicianscannotexpecttooutperformthemarket.
E.?
BandC
33.?
Asupportlevelisthepricerangeatwhichatechnicalanalystwouldexpectthe?
C.?
demandforastocktoincreasesubstantially.
34.?
Afindingthat_________wouldprovideevidenceagainstthesemistrongformoftheefficientmarkettheory.?
A.?
lowP/Estockstendtohavepositiveabnormalreturns
C.?
onecanconsistentlyoutperformthemarketbyadoptingthecontrarianapproachexemplifiedbythereversalsphenomenon
E.?
AandC
35.?
Theweakformoftheefficientmarkethypothesiscontradicts?
D.?
technicalanalysis,butissilentonthepossibilityofsuccessfulfundamentalanalysis.36.?
Twobasicassumptionsoftechnicalanalysisarethatsecuritypricesadjust?
C.?
graduallytonewinformationandmarketpricesaredeterminedbytheinteractionofsupplyanddemand.
?
37.?
Cumulativeabnormalreturns(CAR)?
A.?
areusedineventstudies.
B.?
arebettermeasuresofsecurityreturnsduetofirm-specificeventsthanareabnormalreturns(AR).
D.?
AandB.
38.?
Studiesofmutualfundperformance?
A.?
indicatethatoneshouldnotrandomlyselectamutualfund.
B.?
indicatethathistoricalperformanceisnotnecessarilyindicativeoffutureperformance.
D.?
AandB.
?
39.?
Thelikelihoodofaninvestmentnewsletter'ssuccessfullypredictingthedirectionofthemarketforthreeconsecutiveyearsbychanceshouldbe?
C.?
between10%and25%.
40.?
Inanefficientmarketthecorrelationcoefficientbetweenstockreturnsfortwonon-overlappingtimeperiodsshouldbe?
C.?
zero.
41.?
TheweatherreportsaysthatadevastatingandunexpectedfreezeisexpectedtohitFloridatonight,duringthepeakofthecitrusharvest.InanefficientmarketonewouldexpectthepriceofFloridaOrange'sstockto?
A.?
dropimmediately.
42.?
MatthewsCorporationhasabetaof1.2.Theannualizedmarketreturnyesterdaywas13%,andtherisk-freerateiscurrently5%.YouobservethatMatthewshadanannualizedreturnyesterdayof17%.Assumingthatmarketsareefficient,thissuggeststhat?
B.?
goodnewsaboutMatthewswasannouncedyesterday.
43.?
NicholasManufacturingjustannouncedyesterdaythatits4thquarterearningswillbe10%higherthanlastyear's4thquarter.YouobservethatNicholashadanabnormalreturnof-1.2%yesterday.Thissuggeststhat?
C.?
investorsexpectedtheearningsincreasetobelargerthanwhatwasactuallyannounced.
44.?
WhenMauriceKendallfirstexaminedstockpricepatternsin1953,hefoundthat?
B.?
therewerenopredictablepatternsinstockprices.
45.?
Ifstockpricesfollowarandomwalk?
D.?
pricechangesarerandom.
46.?
Themaindifferencebetweenthethreeformsofmarketefficiencyisthat?
D.?
thedefinitionofinformationdiffers.
47.?
Chartistspractice?
A.?
technicalanalysis.
48.?
Whichofthefollowingareusedbyfundamentalanalyststodetermineproperstockprices?
I)trendlines
II)earnings
III)dividendprospects
IV)expectationsoffutureinterestrates
V)resistancelevels?
C.?
II,III,andIV
?
49.?
Accordingtoproponentsoftheefficientmarkethypothesis,thebeststrategyforasmallinvestorwithaportfolioworth$40,000isprobablyto?
E.?
investinmutualfunds.
50.?
Whichofthefollowingareinvestmentsuperstarswhohaveconsistentlyshownsuperiorperformance?
I)WarrenBuffet
II)PhoebeBuffet
III)PeterLynch
IV)MerrillLynch
V)JimmyBuffet?
C.?
IandIII
51.?
Googlehasabetaof1.0.Theannualizedmarketreturnyesterdaywas11%,andtherisk-freerateiscurrently5%.YouobservethatGooglehadanannualizedreturnyesterdayof14%.Assumingthatmarketsareefficient,thissuggeststhat?
B.?
goodnewsaboutGooglewasannouncedyesterday.
52.?
MusicDoctorshasabetaof2.25.Theannualizedmarketreturnyesterdaywas12%,andtherisk-freerateiscurrently4%.YouobservethatMusicDoctorshadanannualizedreturnyesterdayof15%.Assumingthatmarketsareefficient,thissuggeststhat?
A.?
badnewsaboutMusicDoctorswasannouncedyesterday.
53.?
QQAGhasabetaof1.7.Theannualizedmarketreturnyesterdaywas13%,andtherisk-freerateiscurrently3%.YouobservethatQQAGhadanannualizedreturnyesterdayof20%.Assumingthatmarketsareefficient,thissuggeststhat?
C.?
nosignificantn
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