完整word版投资学第7版Test Bank答案11Word文档格式.docx
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完整word版投资学第7版Test Bank答案11Word文档格式.docx
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A)anactivetradingstrategy.
B)investinginanindexfund.
C)apassiveinvestmentstrategy.
D)AandB
E)BandC
EDifficulty:
Believersofmarketefficiencyadvocatepassiveinvestmentstrategies,andaninvestmentinanindexfundisoneofthemostpracticalpassiveinvestmentstrategies,especiallyforsmallinvestors.
3.Ifyoubelieveinthe_______formoftheEMH,youbelievethatstockpricesreflectallinformationthatcanbederivedbyexaminingmarkettradingdatasuchasthehistoryofpaststockprices,tradingvolumeorshortinterest.
D)alloftheabove
CDifficulty:
Theinformationdescribedaboveismarketdata,whichisthedatasetfortheweakformofmarketefficiency.Thesemistrongformincludestheaboveplusallotherpublicinformation.Thestrongformincludesallpublicandprivateinformation.
4.Ifyoubelieveinthe_________formoftheEMH,youbelievethatstockpricesreflectallavailableinformation,includinginformationthatisavailableonlytoinsiders.
BDifficulty:
Thestrongformincludesallpublicandprivateinformation.
5.Ifyoubelieveinthereversaleffect,youshould
A)buybondsinthisperiodifyouheldstocksinthelastperiod.
B)buystocksinthisperiodifyouheldbondsinthelastperiod.
C)buystocksthisperiodthatperformedpoorlylastperiod.
D)goshort.
E)CandD
Thereversaleffectstatesthatstocksthatdowellinoneperiodtendtoperformpoorlyinthesubsequentperiod,andviceversa.
6.__________focusmoreonpastpricemovementsofafirm'
sstockthanontheunderlyingdeterminantsoffutureprofitability.
A)Creditanalysts
B)Fundamentalanalysts
C)Systemsanalysts
D)Technicalanalysts
E)Alloftheabove
DDifficulty:
Techniciansattempttopredictfuturestockpricesbasedonhistoricalstockprices.
7._________abovewhichitisdifficultforthemarkettorise.
A)Bookvalueisavalue
B)Resistancelevelisavalue
C)Supportlevelisavalue
E)AandC
Whenstockpriceshaveremainedstableforalongperiod,thesepricesaretermedresistancelevels;
techniciansbelieveitisdifficultforthestockpricestopenetratetheseresistancelevels.
8.___________thereturnonastockbeyondwhatwouldbepredictedfrommarketmovementsalone.
A)Anexcesseconomicreturnis
B)Aneconomicreturnis
C)Anabnormalreturnis
Aneconomicreturnistheexpectedreturn,basedontheperceivedlevelofriskandmarketfactors.Whenreturnsexceedtheselevels,thereturnsarecalledabnormalorexcesseconomicreturns.
9.Thedebateoverwhethermarketsareefficientwillprobablyneverberesolvedbecauseof________.
A)theluckyeventissue.
B)themagnitudeissue.
C)theselectionbiasissue.
D)alloftheabove.
E)noneoftheabove.
FactorsA,B,andCallexistmakerigidtestingofmarketefficiencydifficultorimpossible.
10.Acommonstrategyforpassivemanagementis____________.
A)creatinganindexfund
B)creatingasmallfirmfund
C)creatinganinvestmentclub
D)AandC
Theindexfundis,bydefinition,passivelymanaged.Theotherinvestmentalternativesmayormaynotbemanagedpassively.
11.Arbel(1985)foundthat
A)theJanuaryeffectwashighestforneglectedfirms.
B)thebook-to-marketvalueratioeffectwashighestinJanuary
C)theliquidityeffectwashighestforsmallfirms.
D)theneglectedfirmeffectwasindependentofthesmallfirmeffect.
E)smallfirmshadhigherbook-to-marketvalueratios.
Moderate
Arbeldividedfirmsintohighlyresearched,moderatelyresearched,andneglectedgroupsbasedonthenumberofinstitutionsholdingthestock.
12.Researchershavefoundthatmostofthesmallfirmeffectoccurs
A)duringthespringmonths.
B)duringthesummermonths.
C)inDecember.
D)inJanuary.
E)randomly.
Muchoftheso-calledsmallfirmeffectsimplymaybethetax-effectasinvestorssellstocksonwhichtheyhavelossesinDecemberandreinvestthefundsinJanuary.Assmallfirmsareespeciallyvolatile,theseactionsaffectsmallfirmsinamoredramaticfashion.
13.Malkiel(1995)calculatedthattheaveragealphas,orabnormalreturns,onalargesampleofmutualfundsbetween1972and1991were
A)significantlypositive.
B)significantlynegative.
C)statisticallyindistinguishablefromzero.
D)positivebefore1981andnegativethereafter.
E)negativebefore1981andpositivethereafter.
Malkiel'
sstudysuggeststhatfundmanagersdonotbeatthemarketonarisk-adjustedbasis.
14.Basu(1977,1983)foundthatfirmswithlowP/Eratios
A)earnedhigheraveragereturnsthanfirmswithhighP/Eratios.
B)earnedthesameaveragereturnsasfirmswithhighP/Eratios.
C)earnedloweraveragereturnsthanfirmswithhighP/Eratios.
D)hadhigherdividendyieldsthanfirmswithhighP/Eratios.
FirmswithhighP/EratiosalreadyhaveaninflatedpricerelativetoearningsandthustendtohavelowerreturnsthanlowP/Eratiostocks.However,theP/Eratiomaycapturerisknotfullyimpoundedinmarketbetassothismayrepresentanappropriateriskadjustmentratherthanamarketanomaly.
15.Jaffe(1974)foundthatstockprices_________afterinsidersintensivelyboughtshares.
A)decreased
B)didnotchange
C)increased
D)becameextremelyvolatile
E)becamemuchlessvolatile
Insidertradingmaysignalprivateinformation.
16.Banz(1981)foundthat,onaverage,therisk-adjustedreturnsofsmallfirms
A)werehigherthantherisk-adjustedreturnsoflargefirms.
B)werethesameastherisk-adjustedreturnsoflargefirms.
C)werelowerthantherisk-adjustedreturnsoflargefirms.
D)wereunrelatedtotherisk-adjustedreturnsoflargefirms.
E)werenegative.
BanzfoundAtobetrue,althoughsubsequentstudieshaveattemptedtoexplainthesmallfirmeffectastheJanuaryeffect,theneglectedfirmeffect,etc.
17.ProponentsoftheEMHthinktechnicalanalysts
A)shouldfocusonrelativestrength.
B)shouldfocusonresistancelevels.
C)shouldfocusonsupportlevels.
D)shouldfocusonfinancialstatements.
E)arewastingtheirtime.
Technicalanalystsattempttopredictfuturestockpricesfromhistoricstockprices;
proponentsofEMHbelievethatstockpricechangesarerandomvariables.
18.Studiesofpositiveearningssurpriseshaveshownthatthereis
A)apositiveabnormalreturnonthedaypositiveearningssurprisesareannounced.
B)apositivedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.
C)anegativedriftinthestockpriceonthedaysfollowingtheearningssurpriseannouncement.
D)bothAandBaretrue.
E)bothAandCaretrue.
Themarketappearstoadjusttoearningsinformationgradually,resultinginasustainedperiodofabnormalreturns.
19.OnNovember22,2005thestockpriceofWalmartwas$39.50andtheretailerstockindexwas600.30.OnNovember25,2005thestockpriceofWalmartwas$40.25andtheretailerstockindexwas605.20.ConsidertheratioofWalmarttotheretailerindexonNovember22andNovember25.Walmartis_______theretailindustryandtechnicalanalystswhofollowrelativestrengthwouldadvise_______thestock.
A)outperforming,buying
B)outperforming,selling
C)underperforming,buying
D)underperforming,selling
E)equallyperforming,neitherbuyingnorselling
11/22:
$39.50/600.30=0.0658;
11/25:
$40.25/605.20=0.0665;
Thus,K-Mart'
srelativestrengthisimprovingandtechniciansusingthistechniquewouldrecommendbuying.
20.WorkbyAmihudandMendelson(1986,1991)
A)arguesthatinvestorswilldemandarateofreturnpremiumtoinvestinlessliquidstocks.
B)mayhelpexplainthesmallfirmeffect.
C)mayberelatedtotheneglectedfirmeffect.
D)BandC.
E)A,B,andC.
Lackofliquiditymayaffectthereturnsofsmallandneglectedfirms;
howeverthetheorydoesnotexplainwhytheabnormalreturnsareconcentratedinJanuary.
21.FamaandFrench(1992)foundthatthestocksoffirmswithinthehighestdecileofma
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