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1、Chapter 11 - The Efficient Market Hypothesis11-1Chapter 11 The Efficient Market HypothesisMultiple Choice Questions1. If you believe in the _ form of the EMH, you believe that stock prices reflect all relevant information including historical stock prices and current public information about the fir
2、m, but not information that is available only to insiders. A. Semistrong 2. When Maurice Kendall examined the patterns of stock returns in 1953 he concluded that the stock market was _. Now, these random price movements are believed to be _. A. inefficient; the effect of a well-functioning market 3.
3、 The stock market follows a _. B. Submartingale 4. A hybrid strategy is one where the investor D. maintains a passive core and augments the position with an actively managed portfolio. 5. The difference between a random walk and a submartingale is the expected price change in a random walk is _ and
4、the expected price change for a submartingale is _. D. zero; positive 6.6. The difference between a random walk and a submartingale is the expected price change in a random walk is _ and the expected price change for a submartingale is _. D. zero; positive7. Proponents of the EMH typically advocate
5、B. investing in an index fund. C. a passive investment strategy. E. B and C 8. Proponents of the EMH typically advocate C. a passive investment strategy. 9. If you believe in the _ form of the EMH, you believe that stock prices reflect all information that can be derived by examining market trading
6、data such as the history of past stock prices, trading volume or short interest. C. Weak 10. If you believe in the _ form of the EMH, you believe that stock prices reflect all available information, including information that is available only to insiders. B. strong11. If you believe in the reversal
7、 effect, you should C. buy stocks this period that performed poorly last period. 12. _ focus more on past price movements of a firms stock than on the underlying determinants of future profitability. D. Technical analysts 13. _ above which it is difficult for the market to rise. B. Resistance level
8、is a valueChapter 11 - The Efficient Market Hypothesis11-214. _ below which it is difficult for the market to fall. C. Support level is a value 15. _ the return on a stock beyond what would be predicted from market movements alone. A. An excess economic return is C. An abnormal return is E. A and C1
9、6. The debate over whether markets are efficient will probably never be resolved because of _. A. the lucky event issue. B. the magnitude issue. C. the selection bias issue. D. all of the above.17. A common strategy for passive management is _. A. creating an index fund18. Arbel (1985) found that A.
10、 the January effect was highest for neglected firms.19. Researchers have found that most of the small firm effect occurs D. in January.20. Basu (1977, 1983) found that firms with low P/E ratios A. earned higher average returns than firms with high P/E ratios. 21. Jaffe (1974) found that stock prices
11、 _ after insiders intensively bought shares. C. increased 22. Banz (1981) found that, on average, the risk-adjusted returns of small firms A. were higher than the risk-adjusted returns of large firms.23. Proponents of the EMH think technical analysts E. are wasting their time.24. Studies of positive
12、 earnings surprises have shown that there is A. a positive abnormal return on the day positive earnings surprises are announced. B. a positive drift in the stock price on the days following the earnings surprise announcement. D. both A and B are true.Chapter 11 - The Efficient Market Hypothesis11-32
13、5. Studies of negative earnings surprises have shown that there is A. a negative abnormal return on the day negative earnings surprises are announced. B. a positive drift in the stock price on the days following the earnings surprise announcement. D. both A and B are true.26. Studies of stock price
14、reactions to news are called B. event studies.27. On November 22, 2005 the stock price of Walmart was $39.50 and the retailer stock index was 600.30. On November 25, 2005 the stock price of Walmart was $40.25 and the retailer stock index was 605.20. Consider the ratio of Walmart to the retailer inde
15、x on November 22 and November 25. Walmart is _ the retail industry and technical analysts who follow relative strength would advise _ the stock. A. outperforming, buying 28. Work by Amihud and Mendelson (1986,1991) A. argues that investors will demand a rate of return premium to invest in less liqui
16、d stocks. B. may help explain the small firm effect. C. may be related to the neglected firm effect. E. A, B, and C. 29. Fama and French (1992) found that the stocks of firms within the highest decile of market/book ratios had average monthly returns of _ while the stocks of firms within the lowest decile
