金融市场与机构(6)解析
早稻田大学官网-会计岗位职责
Chapter 6
Are Financial Markets
Efficient?
Multiple Choice Questions
1.
How expectations are formed is important because
expectations influence
(a) the demand for
assets.
(b) bond prices.
(c) the risk
structure of interest rates.
(d) the term
structure of interest rates.
(e) all of the
above.
Answer: E
2. According to the
efficient market hypothesis, the current price of
a financial security
(a) is the discounted net
present value of future interest payments.
(b)
is determined by the highest successful bidder.
(c) fully reflects all available relevant
information.
(d) is a result of none of the
above.
Answer: C
3. The efficient market
hypothesis
(a) is based on the assumption that
prices of securities fully reflect all available
information.
(b) holds that the expected
return on a security equals the equilibrium
return.
(c) both (a) and (b).
(d) neither
(a) nor (b).
Answer: C
4. If the optimal
forecast of the return on a security exceeds the
equilibrium return, then
(a) the market is
inefficient.
(b) an unexploited profit
opportunity exists.
(c) the market is in
equilibrium.
(d) only (a) and (b) of the above
are true.
(e) only (b) and (c) of the above
are true.
Answer: D
70
MishkinEakins • Financial Markets and
Institutions, Fifth Edition
5. According to
the efficient market hypothesis
(a) one cannot
expect to earn an abnormally high return by
purchasing a security.
(b) information in
newspapers and in the published reports of
financial analysts is already reflected
in
market prices.
(c) unexploited profit
opportunities abound, thereby explaining why so
many people get rich by
trading securities.
(d) all of the above are true.
(e) only
(a) and (b) of the above are true.
Answer: E
Another way to state the efficient market
condition is that in an efficient market,
(a)
unexploited profit opportunities will be quickly
eliminated.
(b) unexploited profit
opportunities will never exist.
(c)
arbitrageurs guarantee that unexploited profit
opportunities never exist.
(d) both (a) and
(c) of the above occur.
Answer: A
Another
way to state the efficient market hypothesis is
that in an efficient market,
(a) unexploited
profit opportunities will never exist as market
participants, such as arbitrageurs,
ensure
that they are instantaneously dissipated.
(b)
unexploited profit opportunities will not exist
for long, as market participants will act quickly
to
eliminate them.
(c) every financial
market participant must be well informed about
securities.
(d) only (a) and (c) of the above.
Answer: B
A situation in which the price
of an asset differs from its fundamental market
value is called
(a) an unexploited profit
opportunity.
(b) a bubble.
(c) a
correction.
(d) a mean reversion.
Answer:
B
A situation in which the price of an asset
differs from its fundamental market value
(a)
indicates that unexploited profit opportunities
exist.
(b) indicates that unexploited profit
opportunities do not exist.
(c) need not
indicate that unexploited profit opportunities
exist.
(d) indicates that the efficient market
hypothesis is fundamentally flawed.
Answer: C
6.
7.
8.
9.
10. Studies of
mutual fund performance indicate that mutual funds
that outperformed the market in one
time
period
(a) usually beat the market in the next
time period.
(b) usually beat the market in
the next two subsequent time periods.
(c)
usually beat the market in the next three
subsequent time periods.
(d) usually do not
beat the market in the next time period.
Chapter 6 Are Financial Markets
Efficient? 71
Answer: D
72
MishkinEakins • Financial Markets and
Institutions, Fifth Edition
11. The efficient
market hypothesis suggests that allocating your
funds in the financial markets on the
advice
of a financial analyst
(a) will certainly mean
higher returns than if you had made selections by
throwing darts at the
financial page.
(b)
will always mean lower returns than if you had
made selections by throwing darts at the
financial page.
(c) is not likely to prove
superior to a strategy of making selections by
throwing darts at the
financial page.
(d)
is good for the economy.
Answer: C
12.
Ivan Boesky, the most successful of the so-called
arbs in the 1980s, was able to outperform the
market on a consistent basis, indicating that
(a) securities markets are not efficient.
(b) unexploited profit opportunities were
abundant.
(c) investors can outperform the
market with inside information.
(d) only (b)
and (c) of the above.
Answer: D
13. To say
that stock prices follow a “random walk” is to
argue that
(a) stock prices rise, then fall.
(b) stock prices rise, then fall in a
predictable fashion.
(c) stock prices tend to
follow trends.
(d) stock prices are, for all
practical purposes, unpredictable.
Answer: D
14. To say that stock prices follow a “random
walk” is to argue that
(a) stock prices rise,
then fall, then rise again.
(b) stock prices
rise, then fall in a predictable fashion.
(c)
stock prices tend to follow trends.
(d) stock
prices cannot be predicted based on past trends.
Answer: D
15. Rules used to predict
movements in stock prices based on past patterns
are, according to the efficient
markets
theory,
(a) a waste of time.
(b)
profitably employed by all financial analysts.
(c) the most efficient rules to employ.
(d) consistent with the random walk
hypothesis.
Answer: A
Chapter 6 Are
Financial Markets Efficient? 73
16. Tests
used to rate the performance of rules developed in
technical analysis conclude that
(a) technical
analysis outperforms the overall market.
(b)
technical analysis far outperforms the overall
market, suggesting that stockbrokers provide
valuable services.
(c) technical analysis
does not outperform the overall market.
(d)
technical analysis does not outperform the overall
market, suggesting that stockbrokers do not
provide services of any value.
Answer: C
17. Which of the following types of
information will most likely enable the
exploitation of a profit
opportunity?
(a)
Financial analysts’ published recommendations
(b) Technical analysis
(c) Hot tips from a
stockbroker
(d) Insider information
Answer: D
18. Which of the following types
of information will most likely enable the
exploitation of a profit
opportunity?
(a)
Financial analysts’ published recommendations
(b) Technical analysis
(c) Hot tips from a
stockbroker
(d) None of the above
Answer:
D
19. The advantage of a “buy-and-hold
strategy” is that
(a) net profits will tend to
be higher because there will be fewer brokerage
commissions.
(b) losses will eventually be
eliminated.
(c) the longer a stock is held,
the higher will be its price.
(d) only (b) and
(c) of the above are true.
Answer: A
20.
The efficient market hypothesis suggests that
(a) investors should not try to outguess the
market by constantly buying and selling
securities.
(b) investors do better on average
if they adopt a “buy and hold” strategy.
(c)
buying into a mutual fund is a sensible strategy
for a small investor.
(d) all of the above are
sensible strategies.
(e) only (a) and (b) of
the above are sensible strategies.
Answer: D
21. Sometimes one observes that the price of a
company’s stock falls after the announcement of
favorable earnings. This phenomenon is
(a)
clearly inconsistent with the efficient market
hypothesis.
(b) consistent with the efficient
market hypothesis if the earnings were not as high
as anticipated.
(c) consistent with the
efficient market hypothesis if the earnings were
not as low as anticipated.
(d) the result of
none of the above.
74 MishkinEakins •
Financial Markets and Institutions, Fifth Edition
Answer: B
Chapter 6 Are Financial
Markets Efficient? 75
22. Important
implications of the efficient market hypothesis
include which of the following?
(a) Future
changes in stock prices should, for all practical
purposes, be unpredictable.
(b) Stock prices
will respond to announcements only when the
information in these announcements
is new.
(c) Sometimes a stock price declines when good
news is announced.
(d) All of the above.
(e) Only (a) and (b) of the above.
Answer:
D
23. Although the verdict is not yet in, the
available evidence indicates that, for many
purposes, the
efficient market hypothesis is
(a) a good starting point for analyzing
expectations.
(b) not a good starting point
for analyzing expectations.
(c) too general to
be a useful tool for analyzing expectations.
(d) none of the above.
Answer: A
24.
The efficient market hypothesis suggests that
(a) investors should purchase no-load mutual
funds which have low management fees.
(b)
investors can use the advice of technical analysts
to outperform the market.
(c) investors let
too many unexploited profit opportunities go by if
they adopt a “buy and hold”
strategy.
(d)
only (a) and (b) of the above are sensible
strategies.
Answer: A
25. The efficient
market hypothesis applies to
(a) both the
stock market and the foreign exchange market.
(b) the stock market but not the foreign
exchange market.
(c) the foreign exchange
market but not the stock market.
(d) neither
the stock market nor the foreign exchange market.
Answer: A
26. According to the January
effect, stock prices
(a) experience an
abnormal price rise from December to January.
(b) experience an abnormal price decline from
December to January.
(c) follow a random walk
during January.
(d) set the pattern for the
entire year in January.
Answer: A
27. The
small-firm effect refers to the observation that
small firms’ stocks
(a) follow a random walk
but large firms’ stocks do not.
(b) have
earned abnormally low returns given their greater
risk.
(c) have earned abnormally high returns
even taking into account their greater risk.
(d) sell for lower prices than do large firms’
stocks.
Answer: C
76 MishkinEakins
• Financial Markets and Institutions, Fifth
Edition
28. The efficient markets hypothesis
is weakened by evidence that
(a) stock prices
tend to follow a random walk.
(b) stock prices
are more volatile than fluctuations in their
fundamental values can explain.
(c) technical
analysis does not outperform the overall market.
(d) an investment adviser’s past success or
failure at picking stocks does not predict his or
her
future performance.
Answer: B
29.
Mean reversion refers to the observation that
(a) stock prices overact to news
announcements.
(b) stocks prices are more
volatile than fluctuations in their fundamental
value would predict.
(c) stocks with low
returns are likely to have high returns in the
future.
(d) stocks with low returns are likely
to have even lower returns in the future.
Answer: C
30. Which of the following does
not weaken the efficient markets hypothesis?
(a) Mean reversion
(b) Success of buy-and-
hold strategy
(c) January effect
(d)
Excessive volatility
Answer: B
31. An
important lesson from the Black Monday Crash of
1987 and the tech crash of 2000 is that
(a)
factors other than market fundamentals affect
stock prices.
(b) the strong version of the
efficient market hypothesis, that stock prices
reflect the true
fundamental value of
securities, is correct.
(c) market psychology
has little if any effect on stock prices.
(d)
there is no such thing as a rational bubble.
Answer: A
32. An investor gains from short
selling by _________ and then later _________.
(a) buying a stock; selling it at a higher
price
(b) selling a stock; buying at back at a
lower price
(c) buying a stock; selling it at
a lower price
(d) selling a stock; buying it
back at a higher price
Answer: B
33. Which
of the following is an insight from behavioral
finance?
(a) The price of securities fully
reflects all available information.
(b)
Investor overconfidence leads to high trading
volumes.
(c) The optimal forecast of a
security’s return equals the security’s
equilibrium return.
(d) Investment advisors
cannot consistently beat the market.
Answer: B
Chapter 6 Are Financial Markets
Efficient? 77
TrueFalse
1. Evidence
that stock prices sometimes fall when a firm
announces good news contradicts the efficient
market hypothesis.
Answer: FALSE
If
the security markets are truly efficient, there is
no need to pay for help selecting securities.
Answer: TRUE
Evidence that a mutual fund
has performed extraordinarily well in the past
contradicts the efficient
market hypothesis.
Answer: FALSE
In an efficient market,
every stock is a good choice.
Answer: TRUE
Technical analysts look at historical prices
for information to project future prices.
Answer: TRUE
The evidence suggests
technical analysts are not superior stock pickers.
Answer: TRUE
If the markets are efficient,
the optimal investment strategy will be to buy and
hold so as to
minimize transaction costs.
Answer: TRUE
In an efficient market,
abnormal returns are not possible even using
inside information.
Answer: FALSE
“Short
selling” refers to the practice of buying a stock
and holding it for only a short time before
selling it.
Answer: FALSE
2.
3.
4.
5.
6.
7.
8.
9.
10.
Loss aversion means the unhappiness a person feels
when he or she suffers a monetary loss exceeds
the happiness the same person experiences from
receiving a monetary gain of the same amount.
Answer: TRUE
11. It is probably a good use
of an investor’s time to watch as many shows
featuring technical analysts
as possible.
Answer: FALSE
78 MishkinEakins •
Financial Markets and Institutions, Fifth Edition
Essay
1.
2.
3.
4.
5.
6.
Why are expectations important in
understanding how financial instruments are
valued?
How is it possible that a firm can
announce a record-breaking loss, yet its stock
price rise when the
announcement is made?
What is the optimal investment strategy
according to the efficient market hypothesis? Why?
Explain what the market reaction will be in an
efficient market if a firm announces a fully
anticipated filing for bankruptcy.
How do
loss aversion, overconfidence of investors, and
social contagion affect market efficiency?
What is a rational bubble?