投资学题库
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投资学考试试题及答案一、选择题1. 在投资学中,以下哪种投资方式具有最小的风险?A. 股票投资B. 债券投资C. 期货投资D. 期权投资答案:B. 债券投资2. 下列哪种投资组合可实现资产的分散化?A. 只投资一只股票B. 投资多只股票C. 只投资一种债券D. 投资股票和债券混合组合答案:D. 投资股票和债券混合组合3. 以下哪种情况会导致投资组合的系统风险增加?A. 增加投资种类B. 减少投资种类C. 提高资产流动性D. 降低资产回报率答案:B. 减少投资种类二、简答题1. 请简要解释什么是资产配置,以及它对投资组合的重要性。
答:资产配置是指根据个体的风险偏好和投资目标,合理分配资金到不同类型的资产中,以达到最佳的风险与回报平衡。
资产配置可以帮助投资者实现分散化,降低整体风险,并在长期内获得更好的投资回报。
2. 请解释什么是夏普比率,以及它对投资业绩评估的意义。
答:夏普比率是一种衡量投资组合风险和回报比率的指标,它计算方式为投资组合的年化收益率减去无风险利率后,再除以投资组合收益的标准差。
夏普比率越高,代表单位风险下获得的回报越高,是评估投资业绩优劣的重要指标之一。
三、计算题1. 投资者A的投资组合有60%是股票,40%是债券。
如果股票的年化收益率为10%,债券的年化收益率为5%,则该投资组合的年化收益率是多少?答案:(60% * 10%)+(40% * 5%)= 6% + 2% = 8%2. 投资者B的投资组合中,有30%是美国股票,40%是中国股票,30%是英国股票。
如果美国股票的夏普比率为1.2,中国股票的夏普比率为1.5,英国股票的夏普比率为0.8,则整个投资组合的夏普比率是多少?答案:(30% * 1.2)+(40% * 1.5)+(30% * 0.8)= 0.36 + 0.6 + 0.24 = 1.2以上是投资学考试的试题及答案,希望对您的学习有所帮助。
祝您考试顺利!。
投资学考试试题一、单项选择题(每题 2 分,共 30 分)1、以下哪项不是投资的主要目的?()A 资本增值B 现金流增加C 规避风险D 满足虚荣心2、投资组合理论强调通过投资组合来降低()。
A 系统性风险B 非系统性风险C 市场风险D 利率风险3、某股票的贝塔系数为 15,市场无风险收益率为 5%,市场组合收益率为 10%,则该股票的预期收益率为()。
A 125%B 15%C 175%D 20%4、债券的票面利率高于市场利率时,债券的价格会()。
A 高于面值B 低于面值C 等于面值D 无法确定5、以下哪种投资工具风险最小?()A 股票B 基金C 债券D 期货6、有效市场假说中,()市场的证券价格能够充分反映所有可获得的信息。
A 弱式有效B 半强式有效C 强式有效D 以上都不是7、某投资者购买了一份看跌期权,执行价格为 50 元,期权费为 5 元。
当标的资产价格为 40 元时,该投资者的净利润为()。
A 5 元B 10 元C 15 元D 20 元8、投资的风险溢价等于()。
A 预期收益率无风险收益率B 市场收益率无风险收益率C 预期收益率市场收益率D 以上都不对9、以下哪个指标可以衡量投资的系统性风险?()A 标准差B 方差C 贝塔系数D 协方差10、某公司股票预计下一年每股股利为 2 元,股利增长率为 5%,投资者要求的必要收益率为 10%,则该股票的价值为()。
A 40 元B 42 元C 50 元D 52 元11、以下哪种投资策略属于积极型投资策略?()A 买入并持有策略B 固定比例投资组合保险策略C 投资组合保险策略D 以上都不是12、投资的流动性风险是指()。
A 投资无法在短期内以合理的价格变现的风险B 投资收益的不确定性风险C 投资损失本金的风险D 以上都不是13、以下哪个不是影响债券价格的因素?()A 票面利率B 市场利率C 债券期限D 公司规模14、某投资者以 10 元的价格买入一只股票,持有一年后以 12 元的价格卖出,期间获得每股 05 元的股利,则该投资者的持有期收益率为()。
《投资学》(第四版)练习题第1章投资概述习题一、单项选择题1、下列行为不属于投资的是()。
CA. 购买汽车作为出租车使用B. 农民购买化肥C. 购买商品房自己居住D. 政府出资修筑高速公路2、投资的收益和风险往往()。
AA. 同方向变化B. 反方向变化C. 先同方向变化,后反方向变化D. 先反方向变化,后同方向变化二、判断题1、资本可以有各种表现形态,但必须有价值。
()√2、证券投资是以实物投资为基础的,是实物投资活动的延伸。
()√3、从银行贷款从事房地产投机的人不是投资主体。
()×三、多项选择题1、以下是投资主体必备条件的有()ABDA.拥有一定量的货币资金 B.对其拥有的货币资金具有支配权C.必须能控制其所投资企业的经营决策 D.能够承担投资的风险2、下列属于真实资本有()ABCA.机器设备 B.房地产 C.黄金 D.股票3、下列属于直接投资的有()ABA.企业设立新工厂 B.某公司收购另一家公司60%的股权C.居民个人购买1000股某公司股票 D.发放长期贷款而不参与被贷款企业的经营活动四、简答题1、直接投资与间接投资第2章市场经济与投资决定习题一、单项选择题1、市场经济制度与计划经济制度的最大区别在于()。
BA. 两种经济制度所属社会制度不一样B. 两种经济制度的基础性资源配置方式不一样C. 两种经济制度的生产方式不一样D. 两种经济制度的生产资料所有制不一样2、市场经济配置资源的主要手段是()。
DA. 分配机制B. 再分配机制C. 生产机制D. 价格机制二、判断题1、在市场经济体制下,自利性是经济活动主体从事经济活动的内在动力。
()√2、产权不明晰或产权缺乏严格的法律保护是造成市场失灵的重要原因之一。
()×3、按现代产权理论,完整意义上的产权主要是指对一种物品或资源的支配使用权、自由转让权以及剩余产品的收益权。
()×四、简答题1、市场失灵、缺陷第3章证券投资概述习题一、单项选择题1、在下列证券中,投资风险最低的是()AA、国库券B、金融债券C、国际机构债券D、公司债券2、中国某公司在美国发行的以欧元为面值货币的债券称之为()BA.外国债券 B.欧洲债券 C.武士债券 D.扬基债券3、中央银行在证券市场市场买卖证券的目的是()DA、赚取利润B、控制股份C、分散风险D、宏观调控4、资本证券主要包括()。
《投资学》(第四版)练习题第1章投资概述习题一、单项选择题1、下列行为不属于投资的是()。
CA. 购买汽车作为出租车使用B. 农民购买化肥C. 购买商品房自己居住D. 政府出资修筑高速公路2、投资的收益和风险往往()。
AA. 同方向变化B. 反方向变化C. 先同方向变化,后反方向变化D. 先反方向变化,后同方向变化二、判断题1、资本可以有各种表现形态,但必须有价值。
()√2、证券投资是以实物投资为基础的,是实物投资活动的延伸。
()√3、从银行贷款从事房地产投机的人不是投资主体。
()×三、多项选择题1、以下是投资主体必备条件的有()ABDA.拥有一定量的货币资金 B.对其拥有的货币资金具有支配权C.必须能控制其所投资企业的经营决策 D.能够承担投资的风险2、下列属于真实资本有()ABCA.机器设备 B.房地产 C.黄金 D.股票3、下列属于直接投资的有()ABA.企业设立新工厂 B.某公司收购另一家公司60%的股权C.居民个人购买1000股某公司股票 D.发放长期贷款而不参与被贷款企业的经营活动四、简答题1、直接投资与间接投资第2章市场经济与投资决定习题一、单项选择题1、市场经济制度与计划经济制度的最大区别在于()。
BA. 两种经济制度所属社会制度不一样B. 两种经济制度的基础性资源配置方式不一样C. 两种经济制度的生产方式不一样D. 两种经济制度的生产资料所有制不一样2、市场经济配置资源的主要手段是()。
DA. 分配机制B. 再分配机制C. 生产机制D. 价格机制二、判断题1、在市场经济体制下,自利性是经济活动主体从事经济活动的内在动力。
()√2、产权不明晰或产权缺乏严格的法律保护是造成市场失灵的重要原因之一。
()×3、按现代产权理论,完整意义上的产权主要是指对一种物品或资源的支配使用权、自由转让权以及剩余产品的收益权。
()×四、简答题1、市场失灵、缺陷第3章证券投资概述习题一、单项选择题1、在下列证券中,投资风险最低的是()AA、国库券B、金融债券C、国际机构债券D、公司债券2、中国某公司在美国发行的以欧元为面值货币的债券称之为()BA.外国债券 B.欧洲债券 C.武士债券 D.扬基债券3、中央银行在证券市场市场买卖证券的目的是()DA、赚取利润B、控制股份C、分散风险D、宏观调控4、资本证券主要包括()。
投资学期末考试题和答案一、单项选择题(每题2分,共20分)1. 投资是指()。
A. 购买股票B. 购买债券C. 购买实物资产D. 为了在未来获得收益而对资产的购买或现有资产的重新配置答案:D2. 投资组合的风险主要来源于()。
A. 市场风险B. 利率风险C. 信用风险D. 所有以上选项答案:D3. 资本资产定价模型(CAPM)中,β系数衡量的是()。
A. 市场风险B. 利率风险C. 信用风险D. 投资组合风险答案:A4. 下列哪项不是货币市场工具的特征?()A. 到期时间短B. 风险较低C. 流动性高D. 收益率高答案:D5. 股票的内在价值是指()。
A. 股票的市场价格B. 股票的历史价格C. 股票的清算价值D. 根据未来现金流折现模型计算的价值答案:D6. 债券的到期收益率是指()。
A. 债券的票面利率B. 债券的当前市场价格C. 债券的年利息收入与市场价格的比率D. 债券的年利息收入与面值的比率答案:D7. 以下哪项不是投资决策中的风险管理工具?()A. 止损B. 多元化C. 杠杆D. 对冲答案:C8. 以下哪项不是投资分析的基本类型?()A. 技术分析B. 基本面分析C. 宏观经济分析D. 心理分析答案:D9. 以下哪项不是金融市场的功能?()A. 资本分配B. 风险管理C. 价格发现D. 产品制造答案:D10. 以下哪项不是投资组合管理的目标?()A. 风险最小化B. 收益最大化C. 资本保值D. 市场操纵答案:D二、多项选择题(每题3分,共15分)11. 投资组合理论的主要贡献者包括()。
A. 马科维茨B. 夏普C. 托宾D. 莫迪利亚尼答案:A, B, C12. 以下哪些因素会影响股票价格?()A. 公司盈利B. 利率变化C. 市场情绪D. 政治事件答案:A, B, C, D13. 以下哪些是投资决策中的风险评估工具?()A. 标准差B. 贝塔系数C. 夏普比率D. 价值投资答案:A, B, C14. 以下哪些是债券的基本特征?()A. 到期日B. 票面利率C. 面值D. 信用评级答案:A, B, C, D15. 以下哪些是投资组合管理中的风险控制策略?()A. 资产配置B. 资产选择C. 时机选择D. 风险预算答案:A, B, D三、判断题(每题2分,共10分)16. 投资组合的多样化可以完全消除非系统性风险。
投资学练习题及答案doc
一、选择题
1.投资学主要解决的是()
A.投资资产配置
B.资产定价
C.证券定价
D.投资产生的风险分析
答案:A
2.以下属于基本投资理论的是()
A.市场超额收益理论
B.理性投资者理论
C.技术分析理论
D.约束最优投资决策理论
答案:B
3.投资组合中各资产之间的相关系数越小,表明投资组合的()
A.风险性
B.收益率
C.可靠性
D.稳定性
答案:A
4.投资学的主要内容是()
A.证券投资
B.资产定价
C.投资策略研究
D.资产配置
答案:D
二、填空题
5.投资学的基本原理是,投资者应尽可能通过正确的投资组合减少投资风险与保证投资收益,以实现____________的最大化。
答案:投资收益
6.用投资学的思想来构建投资组合,则是基于____________的理论支撑。
答案:多元化
7.投资策略的设计应充分考虑市场的____________,科学分析投资风险以达到投资的最优选择。
投资学练习题库(附参考答案)一、单选题(共34题,每题1分,共34分)1.公司债券的信誉要( )政府债券和金融债券,风险较大,因而利率一般也比较( )。
A、高于,高B、低于,高C、高于,低D、低于,低正确答案:B2.一个国家证券市场的核心是( )。
A、中小板市场B、创业板市场C、主板市场D、发行市场正确答案:C3.期货合约中的期货价格( )。
A、由期货交易所确定B、由买卖双方在签订合约时确定C、由买卖双方在商品交割时确定D、由标的资产提供者独立确定正确答案:B4.债券久期与债券期限、票面利率和到期收益率三个因素有错误关系的是( )。
A、债券期限增加,久期增加的幅度递增B、久期与债券息票率成反比例变化C、久期与初始到期收益率高低成反比例变化D、债券期限越长久期越大正确答案:A5.投资风格稳健,愿意并且能够承担资产价格的短期波动,期望以承受一定的投资风险来获取较高的投资收益。
这种投资者的风险厌恶程度属于( )。
A、高风险厌恶者B、中等风险厌恶者C、无法判断D、低风险厌恶者正确答案:B6.下面哪一种形态是股价反转向上的形态( )。
A、双底B、头肩顶C、双顶D、三重顶正确答案:A7.下面描述投资市场运行态势的说法哪一个是不正确的?A、熊市B、牛市C、猴市D、虎市正确答案:D8.四种债券的票面利率和期限如下表所示。
这些债券的久期由大到小的排序是( )。
债券甲乙丙丁票面利率(%) 12 8 11 11期限(年) 815 8 15A、丙>丁>甲>乙B、甲>乙>丙>丁C、乙>丁>丙>甲D、丁>丙>甲>乙正确答案:C9.如果一种债券的市场价格上升,则其到期收益率( )。
A、提高B、不变C、下降D、不确定正确答案:C10.某债券面值为100元,其票面利率为9%,市场利率为10%,该债券价格可能是( )。
A、不确定B、105C、110D、95正确答案:D11.看涨期权买方( )交纳保证金,看跌期权卖方( )交纳保证金。
证券投资学试题及答案一、单项选择题(每题2分,共20分)1. 股票是一种()。
A. 债权凭证B. 所有权凭证C. 债务凭证D. 收益凭证答案:B2. 证券投资基金的设立必须经()批准。
A. 中国证监会B. 中国银保监会C. 中国人民银行D. 国务院答案:A3. 股票的面值通常为()元。
A. 1B. 5C. 10D. 100答案:A4. 以下哪个不是证券投资分析的方法?()A. 技术分析B. 基本分析C. 心理分析D. 宏观经济分析5. 股票的市场价格通常由()决定。
A. 公司业绩B. 投资者情绪C. 市场供求关系D. 以上都是答案:D6. 以下哪个不是证券投资的风险类型?()A. 系统性风险B. 非系统性风险C. 利率风险D. 通货膨胀风险答案:D7. 证券投资组合理论是由()提出的。
A. 马科维茨B. 巴菲特C. 索罗斯D. 彼得·林奇答案:A8. 以下哪个不是证券投资的基本原则?()A. 风险与收益相匹配B. 长期投资C. 短期投机D. 分散投资答案:C9. 股票的股利通常以()的形式发放。
B. 股票C. 债券D. 商品答案:A10. 以下哪个不是证券投资的收益来源?()A. 股息B. 利息C. 资本利得D. 通货膨胀答案:D二、多项选择题(每题3分,共15分)1. 证券投资基金的特点包括()。
A. 专家管理B. 风险分散C. 收益稳定D. 投资门槛低答案:ABD2. 影响股票市场价格的因素包括()。
A. 公司业绩B. 利率水平C. 政治因素D. 投资者情绪答案:ABCD3. 证券投资分析的方法包括()。
A. 技术分析B. 基本分析C. 心理分析D. 宏观经济分析答案:ABD4. 以下哪些属于证券投资的风险类型?()A. 系统性风险B. 非系统性风险C. 利率风险D. 通货膨胀风险答案:ABC5. 证券投资组合理论的主要内容是()。
A. 风险与收益的权衡B. 资产的分散化C. 投资组合的优化D. 投资组合的风险最小化答案:ABC三、判断题(每题1分,共10分)1. 股票的市场价格总是高于其面值。
大一投资学考试题及答案一、单项选择题(每题2分,共20分)1. 投资学中,投资组合的风险主要来源于()。
A. 系统性风险B. 非系统性风险C. 市场风险D. 利率风险答案:B2. 根据资本资产定价模型(CAPM),下列哪项不是决定资产预期收益率的因素?()A. 无风险利率B. 市场风险溢价C. 资产的贝塔系数D. 资产的流动性答案:D3. 在现代投资理论中,下列哪项不是有效市场假说(EMH)的类型?()A. 弱式有效市场B. 半强式有效市场C. 强式有效市场D. 完全有效市场答案:D4. 以下哪项不是投资学中的风险度量指标?()A. 方差B. 标准差C. 夏普比率D. 收益率答案:D5. 投资组合理论中,投资者通过分散投资可以降低的是()。
A. 系统性风险B. 非系统性风险C. 市场风险D. 利率风险答案:B6. 根据债券定价理论,下列哪项不是影响债券价格的因素?()A. 利率水平B. 债券的信用等级C. 债券的到期时间D. 债券的面值答案:D7. 股票的股息贴现模型(DDM)中,下列哪项不是决定股票内在价值的因素?()A. 预期股息B. 贴现率C. 股票的面值D. 股息增长率答案:C8. 在投资中,下列哪项不是财务杠杆的作用?()A. 增加收益B. 增加风险C. 减少收益D. 增加风险和收益的潜力答案:C9. 投资学中,下列哪项不是投资决策的基本原则?()A. 风险与回报的权衡B. 多元化投资C. 市场时机选择D. 长期投资答案:C10. 投资学中,下列哪项不是投资分析的主要方法?()A. 基本分析B. 技术分析C. 宏观经济分析D. 行为分析答案:D二、多项选择题(每题3分,共15分)11. 投资学中,下列哪些因素会影响股票价格?()A. 公司的盈利能力B. 利率水平C. 通货膨胀率D. 投资者情绪答案:ABCD12. 投资组合管理中,下列哪些是风险管理策略?()A. 资产配置B. 风险预算C. 衍生品对冲D. 市场时机选择答案:ABC13. 根据资本资产定价模型(CAPM),下列哪些因素会影响资产的预期收益率?()A. 无风险利率B. 市场风险溢价C. 资产的贝塔系数D. 资产的流动性答案:ABC14. 投资学中,下列哪些是影响债券价格的主要因素?()A. 利率水平B. 债券的信用等级C. 债券的到期时间D. 债券的面值答案:ABC15. 投资学中,下列哪些是投资分析的主要方法?()A. 基本分析B. 技术分析C. 宏观经济分析D. 行为分析答案:ABC三、判断题(每题2分,共10分)16. 投资组合理论认为,通过分散投资可以消除所有风险。
投资者基础知识题库100道及答案一、投资基础概念1. 投资的目的是()。
A. 获得收益B. 保值增值C. 分散风险D. 以上都是答案:D2. 以下哪种投资风险相对较低?()A. 股票投资B. 债券投资C. 期货投资D. 外汇投资答案:B3. 投资组合的主要作用是()。
A. 降低风险B. 提高收益C. 分散投资D. 以上都是答案:D4. 风险承受能力较低的投资者适合投资()。
A. 高风险资产B. 中等风险资产C. 低风险资产D. 以上都不适合答案:C5. 投资的三要素不包括()。
A. 收益B. 风险C. 流动性D. 稳定性答案:D二、股票投资6. 股票是一种()。
A. 债务凭证B. 所有权凭证C. 衍生金融工具D. 以上都不是答案:B7. 股票的价格主要受()因素影响。
A. 公司业绩B. 宏观经济环境C. 市场供求关系D. 以上都是答案:D8. 以下哪个指标可以衡量股票的投资价值?()A. 市盈率B. 市净率C. 股息率D. 以上都是答案:D9. 股票市场中的“牛市”是指()。
A. 股价持续上涨B. 股价持续下跌C. 股价波动较小D. 以上都不是答案:A10. 股票投资的风险主要有()。
A. 市场风险B. 公司风险C. 行业风险D. 以上都是答案:D11. 投资者购买股票的收益主要来自()。
A. 股息收入B. 资本利得C. 红利分配D. 以上都是答案:D12. 股票的交易方式主要有()。
A. 现货交易B. 期货交易C. 期权交易D. 以上都是答案:A(主要是现货交易,期货和期权交易属于衍生交易方式)13. 股票的发行方式主要有()。
A. 公开发行B. 非公开发行C. 配股D. 以上都是答案:D14. 以下哪个是股票市场的主要指数?()A. 上证指数B. 深证成指C. 沪深300 指数D. 以上都是答案:D15. 股票投资的分析方法主要有()。
A. 基本面分析B. 技术分析C. 量化分析D. 以上都是答案:D三、债券投资16. 债券是一种()。
Chapter 11The 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 firm, but not information that is available only to insiders.A.Semistrong2. 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 _________.3.A.inefficient; the effect of a well-functioning market3. The stock market follows a __________.4.B.Submartingale4. A hybrid strategy is one where the investor5.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 the expected price change for a submartingale is ______.6.D.zero; positive7.6. 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 ______.8.D.zero; positive9.7. Proponents of the EMH typically advocate10.B.investing in an index fund.11.C. a passive investment strategy.12.E. B and C8. Proponents of the EMH typically advocate9.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 data such as the history of past stock prices, trading volume or short interest.10.C.Weak10. 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.11.B.strong12.11. If you believe in the reversal effect, you should13.C.buy stocks this period that performed poorly last period.12. __________ focus more on past price movements of a firm's stock than on the underlying determinants of future profitability.D.Technical analysts13. _________ above which it is difficult for the market to rise.B.Resistance level is a value14. _________ below which it is difficult for the market to fall.C.Support level is a value15. ___________ the return on a stock beyond what would be predicted from market movements alone.A.An excess economic return isC.An abnormal return isE. A and C16. 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 thatA.the January effect was highest for neglected firms.19. Researchers have found that most of the small firm effect occursD.in January.20. Basu (1977, 1983) found that firms with low P/E ratiosA.earned higher average returns than firms with high P/E ratios.21. Jaffe (1974) found that stock prices _________ after insiders intensively bought shares.C.increased22. Banz (1981) found that, on average, the risk-adjusted returns of small firmsA.were higher than the risk-adjusted returns of large firms.23. Proponents of the EMH think technical analystsE.are wasting their time.24. Studies of positive earnings surprises have shown that there isA. 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.25. Studies of negative earnings surprises have shown that there isA. 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 reactions to news are calledB.event studies.27. On November 22, 2005 the stock price of Walmart was $ and the retailer stock index was . On November 25, 2005 the stock price of Walmart was $ and the retailer stock index was . Consider the ratio of Walmart to the retailer index on November 22 and November 25. Walmart is _______ the retail industry and technical analysts who follow relative strength would advise _______ the stock.A.outperforming, buying28. Work by Amihud and Mendelson (1986,1991)A.argues that investors will demand a rate of return premium to invest in less liquid 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 of market/book ratios had average monthly returns of ________.C.less than 1%, greater than 1%30. A market decline of 23% on a day when there is no significant macroeconomic event ______ consistent with the EMH because ________.D.would not be, it was not a clear response to macroeconomic news.31. In an efficient market, __________.A.security prices react quickly to new informationB.security prices are seldom far above or below their justified levelsC.security analysts will not enable investors to realize superior returns consistentlyE.A, B, and C32. The weak form of the efficient market hypothesis asserts thatB.future changes in stock prices cannot be predicted from past prices.C.technicians cannot expect to outperform the market.E. B and C33. A support level is the price range at which a technical analyst would expect the34.C.demand for a stock to increase substantially.34. A finding that _________ would provide evidence against the semistrong form of the efficient market theory.35.A.low P/E stocks tend to have positive abnormal returns36.C.one can consistently outperform the market by adopting the contrarian approach exemplified by the reversals phenomenon37.E. A and C35. The weak form of the efficient market hypothesis contradictsD.technical analysis, but is silent on the possibility of successful fundamental analysis. 36. Two basic assumptions of technical analysis are that security prices adjustC.gradually to new information and market prices are determined by the interaction of supply and demand.37. Cumulative abnormal returns (CAR)A.are used in event studies.B.are better measures of security returns due to firm-specific events than are abnormal returns (AR).D. A and B.38. Studies of mutual fund performanceA.indicate that one should not randomly select a mutual fund.B.indicate that historical performance is not necessarily indicative of future performance.D. A and B.39. The likelihood of an investment newsletter's successfully predicting the direction of the market for three consecutive years by chance should beC.between 10% and 25%.40. In an efficient market the correlation coefficient between stock returns for two non-overlapping time periods should beC.zero.41. The weather report says that a devastating and unexpected freeze is expected to hit Florida tonight, during the peak of the citrus harvest. In an efficient market one would expect the price of Florida Orange's stock toA.drop immediately.42. Matthews Corporation has a beta of . The annualized market return yesterday was 13%, and the risk-free rate is currently 5%. You observe that Matthews had an annualized return yesterday of 17%. Assuming that markets are efficient, this suggests thatB.good news about Matthews was announced yesterday.43. Nicholas Manufacturing just announced yesterday that its 4th quarter earnings will be 10% higher than last year's 4th quarter. You observe that Nicholas had an abnormal return of % yesterday. This suggests thatC.investors expected the earnings increase to be larger than what was actually announced.44. When Maurice Kendall first examined stock price patterns in 1953, he found thatB.there were no predictable patterns in stock prices.45. If stock prices follow a random walkD.price changes are random.46. The main difference between the three forms of market efficiency is thatD.the definition of information differs.47. Chartists practiceA.technical analysis.48. Which of the following are used by fundamental analysts to determine proper stock pricesI) trendlinesII) earningsIII) dividend prospectsIV) expectations of future interest ratesV) resistance levelsC.II, III, and IV49. According to proponents of the efficient market hypothesis, the best strategy for a small investor with a portfolio worth $40,000 is probably toE.invest in mutual funds.50. Which of the following are investment superstars who have consistently shown superior performanceI) Warren BuffetII) Phoebe BuffetIII) Peter LynchIV) Merrill LynchV) Jimmy BuffetC.I and III51. Google has a beta of . The annualized market return yesterday was 11%, and the risk-free rate is currently 5%. You observe that Google had an annualized return yesterday of 14%. Assuming that markets are efficient, this suggests thatB.good news about Google was announced yesterday.52. Music Doctors has a beta of . The annualized market return yesterday was 12%, and the risk-free rate is currently 4%. You observe that Music Doctors had an annualized return yesterday of 15%. Assuming that markets are efficient, this suggests thatA.bad news about Music Doctors was announced yesterday.53. QQAG has a beta of . The annualized market return yesterday was 13%, and the risk-free rate is currently 3%. You observe that QQAG had an annualized return yesterday of 20%. Assuming that markets are efficient, this suggests thatC.no significant news about QQAG was announced yesterday.54. QQAG just announced yesterday that its 4th quarter earnings will be 35% higher than last year's 4th quarter. You observe that QQAG had an abnormal return of % yesterday. This suggests thatC.investors expected the earnings increase to be larger than what was actually announced.55. LJP Corporation just announced yesterday that it would undertake an international joint venture. You observe that LJP had an abnormal return of 3% yesterday. This suggests thatD.investors view the international joint venture as good news.56. Music Doctors just announced yesterday that its 1st quarter sales were 35% higher than last year's 1st quarter. You observe that Music Doctors had an abnormal return of -2% yesterday. This suggests thatC.investors expected the sales increase to be larger than what was actually announced.57. The Food and Drug Administration (FDA) just announced yesterday that they would approve a new cancer-fighting drug from King. You observe that King had an abnormal return of 0% yesterday. This suggests thatD.the approval was already anticipated by the market58. Your professor finds a stock-trading rule that generates excess risk-adjusted returns. Instead of publishing the results, she keeps the trading rule to herself. This is most closely associated with ________.B.selection bias59. At freshman orientation, 1,500 students are asked to flip a coin 20 times. One student is crowned the winner (tossed 20 heads). This is most closely associated with ________.D.the lucky event issue60. Sehun (1986) finds that the practice of monitoring insider trade disclosures, and trading on that information, would be ________.E.not sufficiently profitable to cover trading costs61. If you believe in the reversal effect, you shouldC.sell stocks this period that performed well last period.62. Patell and Woflson (1984) report that most of the stock price response to corporate dividend or earnings announcements occurs within ____________ of the announcement.C. 2 hoursShort Answer Questions63. Discuss the various forms of market efficiency. Include in your discussion the information sets involved in each form and the relationships across information sets and across forms of market efficiency. Also discuss the implications for the various forms of market efficiency for the various types of securities' analysts.The weak form of the efficient markets hypothesis (EMH) states that stock prices immediately reflect market data. Market data refers to stock prices and trading volume. Technicians attempt to predict future stock prices based on historic stock price movements. Thus, if the weak form of the EMH holds, the work of the technician is of no value.The semistrong form of the EMH states that stock prices include all public information. This public information includes market data and all other publicly available information, such as financial statements, and all information reported in the press relevant to the firm. Thus, market information is a subset of all public information. As a result, if the semistrong form of the EMH holds, the weak form must hold also. If the semistrong form holds, then the fundamentalist, who attempts to identify undervalued securities by analyzing public information, is unlikely to do so consistently over time. In fact, the work of the fundamentalist may make the markets even more efficient!The strong form of the EMH states that all information (public and private) is immediately reflected in stock prices. Public information is a subset of all information, thus if the strong form of the EMH holds, the semistrong form must hold also. The strong form of EMH states that even with inside (legal or illegal) information, one cannot expect to outperform the market consistently over time.Studies have shown the weak form to hold, when transactions costs are considered. Studies have shown the semistrong form to hold in general, although some anomalies have been observed. Studies have shown that some insiders (specialists, major shareholders, major corporate officers) do outperform the market.Feedback: The purpose of this question is to assure that the student understands the interrelationships across different forms of the EMH, across the information sets, and the implications of each form for different types of analysts.64. What is an event study It is a test of what form of market efficiency Discuss the process of conducting an event study, including the best variable(s) to observe as tests of market efficiency.A event study is an empirical test which allows the researcher to assess the impact of a particular event on a firm's stock price. To do so, one often, the residual term which measures the uses the index model and estimates etfirm-specific component of the stock's return. This variable is the difference between the return the stock would ordinarily earn for a given level of market performance and the actual rate of return on the stock. This measure is often referred to as the abnormal return of the stock. However, it is very difficult to identify the exact point in time that an event becomes public information; thus, the better measure is the cumulative abnormal return, which is the sum of abnormal returns over a period of time (a window around the event date).This technique may be used to study the effect of any public event on a firm's stock price; thus, this technique is a test of the semistrong form of the EMH.Feedback: The rationale for this question is to ascertain if the student understands the methodology most commonly used as a test of the semistrong form of market efficiency.65. Discuss the small firm effect, the neglected firm effect, and the January effect, the tax effect and how the four effects may be related.Studies have shown that small firms earn a risk-adjusted rate of return greater than that of larger firms. Additional studies have shown that firms that are not followed by analysts (neglected firms) also have a risk-adjusted return greater than that of larger firms. However, the neglected firms tend to be small firms; thus, the neglected firm effect may be a manifestation of the small firm effect. Finally, studies have shown that returns in January tend to be higher than in other months of the year. This effect has been shown to persist consistently over the years. However, the January effect may be the tax effect, as investors may have sold stocks with losses in December for tax purposes and reinvested in January. Small firms (and neglected firms) would tend to be more affected by this increased buying than larger firms, as small firms tend to sell for lower prices.Feedback: The purpose of this question is to reinforce the interrelationships, that "effects" may not always be independent and thus readily identifiable. Also these effects are widely discussed in the financial press, and the January effect appears to be quite persistent.66. Why might the degree of market efficiency differ across various markets State three reasons why this might occur and explain each reason briefly.1. Market efficiency depends on information being essentially free and costless to market participants. In the . markets this is the case to a large extent. The . markets are well developed and professional analysts often follow securities. Information is available on television, in the press, and on the Internet. The opposite may be true in other markets, such as those of developing countries, where there are fewer or no analysts and few market participants with these resources.2. Accounting disclosure requirements are different across markets. In the . firms must meet SEC requirements to be publicly traded. In other countries the requirements may be different or nonexistent. This has implications about the ease with which analysts can evaluate the company to determine its proper value.3. Markets for "neglected" stocks may be less efficient than markets for stocks that are heavily followed by analysts. If analysts feel that it is not worthwhile to give their attention to particular stocks then ample information about these stocks will not be readily available to investors.Feedback: This question leads the student to look at some of the fundamental reasons for market efficiency and why there may be differences among markets with regard to the reasons. Alternative answers are possible.67. With regard to market efficiency, what is meant by the term "anomaly" Give three examples of market anomalies and explain why each is considered to be an anomaly.Anomalies are patterns that should not exist if the market is truly efficient. Investors might be able to make abnormal profits by exploiting the anomalies, which doesn't make sense in an efficient market.Possible examples include, but are not limited to, the following.the small-firm effect -average annual returns are consistently higher for small-firm portfolios, even when adjusted for risk by using the CAPM.January effect - thesmall-firm effect occurs virtually entirely in January.neglected-firm effect - small firms tend to be ignored by large institutional traders and stock analysts. This lack of monitoring makes them riskier and they earn higher risk-adjusted returns. The January effect is largest for neglected firms.the liquidity effect - investors demand a return premium to invest in less-liquid stocks. This is related to the small-firm effect and the neglected-firm effect. These stocks tend to earn high risk-adjusted rates of return.ratios - firms with the higher book-to-market-value ratios have higher risk-adjusted returns, suggesting that they are underpriced. When combined with the firm-size factor, this ratio explained returns better than systematic risk as measured by beta.the reversal effect - stocks that have performed best in the recent past seem to underperform the rest of the market in the following periods, and vice versa. Other studies indicated that this effect might be an illusion. These studies used portfolios formed mid-year rather than in December and considered the liquidity effect.Investors should not be able to earn excess returns by taking advantage of any of these. The market should adjust prices to their proper levels. But these things have been documented to occur repeatedly.Feedback: This question tests whether the student grasps the basic concept of anomalies and allows some choice in explaining some of them.。