2023年投资学题库

Chapｔer11TheEfficientMaｒketHypoｔhesiｓ

MultipleChｏiｃeQuesｔionsﻫ

１.

Ifyouｂelieveiｎthe__＿__＿__ｆｏｒmofthｅＥＭH,ｙｏuｂｅlievｅthatsｔockpricesreｆleｃtａllrmaｔionｉncludinｇｈistoriｃalｓtｏckpricｅｓandcｕrrentpuｂliciｎｆormatｉonabouttheｆirm,butnotinformatioｎtｈａｔisaｖailableoｎlytｏinｓiders．

A.

Ｓemistｒｏｎg

WheｎMａｕriceKｅndallexaminedthepatｔeｒnsofstockreturnｓin1９53ｈecoｎcｌudｅdｔhａtｔheｓtｏｃkmarkｅtwaｓ________＿＿.Now，tｈｅseｒandｏmｐriｃemovｅｍeｎｔsareｂｅｌievedtｏbe＿＿＿＿____＿.

ﻫA.

inefficienｔ;theeffｅctofawell-functioninｇｍarket

Thesｔocｋmａrketfollowｓａ_____＿____.

ﻫＢ.

Submartｉnｇaｌe

Ahyｂridｓtｒatｅgyisｏnｅwhｅreｔheinｖeｓtｏｒ

ﻫD．

mａｉntainsapasｓivecoreａｎdaｕgmenｔsthepoｓiｔionwｉｔhanactiｖelyｍanagｅdpoｒtｆolio.

Thedｉfferenｃebｅtｗeenarandｏｍwalｋａndasubmａrtiｎgaleｉsｔｈeeｘpｅctedpricｅchangeiｎａraｎdｏmwalkis_____＿ａndtheexpectedｐriceｃhaｎgｅｆｏrａsubmａｒtｉnｇａｌeiｓ_＿__＿＿.

ﻫD.

ｚｅｒｏ;positive6.

Ｔhedｉfferencebeｔｗeenａｒanｄｏmwａlkanｄasubmartingaleｉstheeｘpecｔｅdpricechａngeinａraｎdｏｍwalkｉｓ＿___＿_anｄｔhｅexpecｔedpricechangｅforａsuｂmarｔｉｎgaleis＿_____．

ﻫD．

ｚero；poｓitive

7.

ＰropｏnｅntsｏftheＥMHtypicａｌlyadvocate

ﻫB.

ｉｎvesｔｉｎginanｉｎdexfuｎｄ.ﻫC.

aｐａssivｅinvestmentsｔrａtegy．ﻫE.

BandC

ProponｅntｓoftｈｅＥMHtypｉｃallｙａdvocａte

ﻫＣ.

apaｓsiveinvestｍeｎｔｓｔrategy.

Ifｙｏuｂelieｖeinthe_____＿_forｍofthｅEMH,youbeｌiｅveｔhａtstｏckpricesｒeｆlecｔaｌlinｆｏｒmaｔionthatcaｎbederiｖedｂyｅxamiｎingｍａrkｅｔｔrａdｉngdaｔasuｃｈasthehｉｓtoryｏfｐastsｔockprices，ｔradｉｎgｖolumeｏrｓhortinterest．

Ｃ.

Weak

Ifyｏubｅlｉeveinthe__＿______ｆorｍoftｈeEＭH,yｏubelieｖetｈaｔsｔoｃkｐriｃesrefleｃtａllaｖａilａｂlｅiｎformatioｎ,iｎcｌudiｎgiｎｆｏrｍａtioｎthatisavａiｌableonｌytoinsiｄeｒｓ.

B.

sｔroｎg

11.

Ｉfｙｏubelｉｅvｅintherｅversaｌeｆｆect,yｏushｏuld

ﻫC.

ｂuysｔocksthｉsｐeｒiodtｈatperfoｒmｅdｐoorｌｙlastperiod.12.

_＿___＿＿＿_＿fｏcｕsmoｒeonpａstpricemoｖｅｍentsｏfafirm'sｓtockｔｈanonthｅundeｒlｙiｎｇdｅｔerminaｎｔsoｆfｕtuｒepｒofｉtabｉliｔy．

D．

Teｃhnicａlanａlysts

13．

_________abovewhiｃhitisdifficultfｏrtheｍaｒkettoｒise.

ﻫＢ.

Ｒeｓistancelｅｖelisavaｌue１4．

_＿___＿___belｏwｗｈiｃhitiｓdｉｆficultfortheｍarｋeｔtoｆall.

C.

Suｐporｔlevｅｌisavaｌue

15.

_____＿_____thｅｒetｕrnonａsｔocｋbeｙonｄwｈaｔwoulｄbepｒediｃteｄfromｍａrketmoｖemeｎtsaｌone.

ﻫA.

Aneｘcesseｃoｎomiｃrｅtｕrnis

C．

Anabnoｒmalreｔｕrnis

Ｅ.

AａndC1６．

Thedebateoverwhｅtｈermａｒｋetsａrｅｅffｉcｉeｎtwiｌlproｂablｙneverberｅsoｌveｄbecauｓeｏf＿__＿＿___．

ﻫA.

tｈeluckyevenｔisｓue．

B．

thｅｍagｎitudeissue.

C.

ｔheseleｃｔｉoｎbiａsisｓuｅ.ﻫD.

allofｔheaｂoｖe.1７．

Acommｏｎstｒaｔegyforpassivｅmａnagementis＿＿_＿__＿＿＿___.

ﻫA．

ｃrｅatiｎgaｎinｄexｆuｎdﻫ

18．

Arbｅl(1９85)fouｎdthａt

ﻫA.

theJａｎuaryeffecｔwashigｈｅstfornｅgｌecｔedfｉｒms.19.

Ｒeｓeａrchershavefoundthatmoｓtoftheｓｍａｌｌｆirmeffecｔｏccｕrs

D.

ｉｎＪaｎuary.2０．

Ｂasu(１977,１98３)fｏuｎｄthatfirmｓwｉｔｈlｏｗＰ／Ｅrａtiｏｓ

A．

earnedｈiｇｈeraｖeragerｅｔurnsthanfiｒmswｉtｈhｉgｈP/Ｅratioｓ.

2１．

Ｊaffe(1974）ｆoｕndｔhａtstoｃkｐrｉces__＿______ａｆteｒｉnsideｒsｉntｅnsivelyｂoughｔｓhaｒes．

ﻫＣ.

iｎcrｅasｅd

２2.

Baｎz(1981）ｆounｄthat,onaverage,therisk-adjusｔｅｄreｔurｎsofsmallｆｉrms

A.

ｗeｒehigheｒｔhａnｔherisk-adjusｔedretuｒnsoflａｒgefirmｓ.２3.

ProｐoｎentsoｆｔheEMＨｔｈinkｔｅcｈniｃalanａｌysts

ﻫE．

aｒeｗａstingｔheｉrtime.24．

Ｓｔudiesofpositiｖeｅaｒｎingssurprisｅshaveshｏｗnthatｔhｅreis

Ａ．

aｐｏsitivｅａｂｎormalrｅturnoｎｔｈedaypositiveearｎiｎgssurpriseｓaｒｅannoｕｎｃｅd.ﻫB．

apositiveｄriｆtiｎthesｔockpｒiceｏｎｔhedａysfollowingthｅearninｇssｕrｐriseannｏunceｍent．

Ｄ.

bｏｔhAanｄBaretruｅ.ﻫ

25.

Studieｓofnegativｅearniｎgｓｓｕrpriseｓhaveshownthatｔhｅｒeiｓ

ﻫA.

aneｇａtiveabｎoｒmａｌreturnonｔhｅｄaynｅgativeeaｒｎinｇsｓｕrｐrｉsesareａnｎounｃed.ﻫB.

ａpoｓitivｅdrifｔｉnthestｏcｋprｉceoｎtheｄａysfollowｉnｇtheearningｓsｕrprｉseanｎｏunｃement.

D．

bothAandBａｒｅｔrue．２6.

Studieｓofstocｋｐricereactionｓtoneｗsarecaｌleｄ

ﻫＢ.

evｅｎtstuｄies.2７．

OnＮoveｍｂeｒ22,2023thesｔoｃkｐｒiceofWalｍarｔｗas＄39．50aｎdtheｒeｔaｉlerstoｃkinｄexｗａｓ60０.30．OnNovember2５,2023tｈｅsｔoｃkpｒiceofＷalｍartwａs＄40.25aｎdtheretaｉlｅｒstocｋiｎｄexwaｓ60５.2０.ConｓidｅrtheraｔiｏofWａlmartｔｏtｈeｒetaｉｌeriｎdeｘonＮovｅmｂer22ａndNovember2５.Walｍartis__＿____ｔhｅretailiｎduｓtryanｄtechnｉcalanaｌysｔswhofolｌowrelatiｖestrｅnｇthwouldadviｓｅ_______thestocｋ.

ﻫA.

ouｔperforming，buyingﻫ28．

WoｒkbyAmｉｈｕdandMｅｎｄｅlson（１986，1９９1)

A.

arｇuesthａｔｉｎveｓtorswilldemanｄａratｅofreｔurnprｅmiumtoinvestiｎlessliｑuｉdｓtocks．ﻫB.

maｙhｅlpexpｌaｉntheｓmallfｉｒmeffecｔ.ﻫC.

mayｂｅrelatedtothｅｎegｌectedｆirmeffect.ﻫE.

A,B,ａｎdC.２９.

ＦaｍaandFrenｃh（１9９2）foundthａｔthｅstoｃksoffirmｓwithｉｎthｅhｉghesｔdecｉｌeofmarket/bｏokraｔioshadavｅraｇｅｍoｎthlyretuｒnsof＿__＿__＿ｗhilｅｔhestｏcksoffirｍsｗithｉnthelowesｔdｅcileofｍarket/ｂookrａtｉoshadaｖｅｒaｇｅmontｈｌyｒetｕrｎｓof___＿_＿__．

Ｃ．

lessthaｎ1％，ｇreａterｔhan1%

30.

Amarketｄeclineｏf2３％ｏnadaｙwhenthｅreisnoｓigniｆicantmacroeconomｉｃevent____＿＿cｏnsiｓｔｅｎtwiｔhtheＥMHbｅcausｅ_＿_＿____.

D.

wouldｎotbe,itwasｎoｔacｌearresponsｅtomacroecoｎomｉcnewｓ.31.

Inａnefｆiｃiｅnｔｍａrkｅt,_＿_＿__＿___.

A.

sｅcurityｐrｉcesreactquicklytonewiｎｆormatｉonﻫＢ.

ｓecｕｒityprｉｃｅsarｅseｌdomfaraｂｏveorbｅloｗｔheirｊustifiedlevelsﻫC．

sｅcuriｔyanalystswillnoｔenableinvestorstoreａｌizｅsuｐeriorrｅturnｓconsistｅｎtｌyﻫＥ.

A,B,ａndC32．

Tｈeweakfoｒmofthｅｅffiｃieｎtｍarkethｙpothｅsisassｅrtｓtｈat

B.

futurechanｇesiｎstockpricescannotｂepredicｔeｄｆroｍｐasｔｐｒｉces.

C.

teｃhnicｉａnscannotｅxpecttooutperｆormthｅmarｋeｔ．

E.

BandC

Asupportlevelisthepricerａngｅaｔwhichaｔechｎicalanalｙsｔwoｕldeｘpecttｈe

ﻫC．

demａnｄforａsｔocｋtｏｉｎcｒeasesｕbstａｎtially．

Aｆindingtｈat____＿＿_＿_wｏｕlｄprｏｖideｅvｉｄenｃeagａiｎsｔtheseｍistronｇｆｏrmｏｆtheｅffｉcｉｅntｍarkettheory.

Ａ.

loｗＰ/EstｏcｋｓtendtohａveposiｔiveaｂｎormalｒｅtｕrnsﻫC.

onｅｃanconsisteｎｔｌｙｏｕtpｅrformtheｍaｒｋeｔbｙadopｔingtｈｅcｏntraｒｉａｎapproａchexemplｉｆｉｅdbyｔherｅversａlspｈenomeｎonﻫE.

AandＣ35.

Tｈeweａｋfｏrmｏftheefficｉｅntmarkethypothesiscoｎtｒadｉcts

ﻫＤ.

tｅchnｉcalanａｌysis，buｔissiｌｅntonthepｏｓsibilityofsuccessfｕlfundaｍentalａｎaｌysis．36.

Twobａsｉcassumptionｓｏftｅchnicaｌａnalysisarethａtsecuｒｉtｙｐriceｓａｄjust

ﻫC.

ｇrａduallytormａtionaｎdmａrkｅｔｐrｉcesaredeterminedｂyｔheiｎｔｅｒacｔiｏnoｆｓupｐｌｙaｎdｄｅmanｄ．ﻫ

３7.

Cuｍｕｌativeaｂnoｒmａlreturnｓ(ＣAＲ)

A.

aｒeｕsedineventｓtuｄiｅs.

B．

arebettermｅasuｒesｏfsecuritｙreturnsｄuetofｉrｍ-specificｅvenｔsthanarｅａｂnｏrmalretuｒns(ＡR).ﻫＤ.

AanｄB.ﻫ３8.

Studiｅsofmｕtualfundpｅrｆormａｎｃe

A．

ｉnｄｉcateｔｈａtoneshoulｄnotraｎdｏmlｙｓelectamutｕalfund.ﻫB.

indicａｔethathiｓtorｉｃalpｅrfｏｒmanceisnotｎeceｓsarilyiｎdicativｅｏffｕtｕreperfｏrｍance.

Ｄ.

AaｎdＢ.

39.

Ｔhelikeｌｉhｏodｏfaninvestmｅntnｅwsleｔtｅｒ＇ssuｃcesｓfullｙpreｄicｔingthｅdirｅctionofthemａrkeｔforthreeconｓecｕtiｖeｙｅａrｓｂyｃｈanｃｅshouldbｅ

Ｃ.

bｅtweeｎ10％ａnd25%.

40.

Ｉnanｅfｆｉcieｎtmaｒkeｔthecorreｌatioｎcoｅｆficieｎｔbetｗｅenstockrｅtｕrnsfortwoｎon-ｏvｅｒlaｐｐｉｎgtimeperioｄsｓhouｌdｂe

ﻫC.

zero.ﻫ41.

TheweatheｒreporｔsaｙｓthatadｅvaｓtatingandｕｎexpectedfreezeisexpｅctedtoｈitFloridａｔonigｈt,ｄuringtｈｅpeakｏfｔhecitrusｈａrvｅｓt.ＩnａｎefficｉenｔmａrketonewouldｅxpecttheprｉceofFloｒiｄaＯraｎge＇sstｏckto

A.

dｒopimmeｄiatｅly.４2．

MatthewsCｏrpoｒationhasaｂｅtaoｆ１.2.Thｅannuaｌiｚｅdmaｒkｅtreturnｙestｅrdaywas13%,anｄtheriｓk－frｅerateisｃurreｎtｌｙ5％.YouoｂservｅtｈａtMaｔtheｗｓhadanａｎnｕａliｚedrｅｔurnyesteｒｄaｙｏf17%.Asｓuｍingｔhatmarｋetsaｒeｅfficient,thｉssuｇgeststhaｔ

ﻫＢ．

goodnewsaｂoutMatthewsｗaｓａｎnｏuncedyestｅrday.４３.

NｉchｏlasＭａnufacturiｎgjustaｎｎounｃedyｅｓteｒdａｙtｈaｔitｓ4thquaｒteｒearniｎgｓwｉllbe10%hｉghｅrtｈanlaｓtyeａｒ's4thqｕarter.ＹouｏbservethatNicholashadanａbnormａlreturnof－1.２％yｅsterday．Ｔhｉssuｇｇeststhａt

ﻫC.

inveｓｔorsｅｘpecｔeｄtheearningsiｎcrｅaｓｅtobｅlargerthanwｈatwaｓacｔｕaｌｌyannouncｅｄ.44.

WhｅnＭauｒiceKeｎdallfｉrsteｘaminedｓtockpｒicｅpatterｎsin１9５3,hefoｕndthat

Ｂ.

therｅwｅreｎopreｄicｔａbｌeｐaｔternｓinstｏｃkprices.４5．

Ifstockpricesfｏllowarａndｏmｗalk

ﻫD.

ｐｒiｃeｃhangesarｅrandom.46.

Tｈeｍaｉndiffeｒｅncebｅtwｅｅntheｔhrｅeformsofmarkeｔeffｉciencyisthat

D.

ｔhｅdefiniｔｉoｎoｆｉnfｏｒmａtiondｉｆｆers.４7.

Chａrｔistspracｔｉce

Ａ.

ｔｅｃhniｃａlanａlｙｓis.48．

Whｉｃhoｆthefolloｗiｎgａrｅusedbyfuｎdaｍｅntａlａnaｌyststｏdetｅrmineｐrｏperstｏckpricｅs?ﻫＩ)tｒendliｎｅsﻫIＩ)eaｒnings

ＩＩI）ｄividendpｒｏspeｃtｓ

IV)ｅｘpｅctatiｏnsoffｕtｕrｅintereｓtrates

V)resｉｓtanｃelｅvelｓ

C.

II,III,ａndIVﻫ

4９．

Aｃcordｉｎgｔｏｐｒｏｐoneｎtsｏfthｅｅｆfｉciｅntｍarkeｔｈypｏthｅｓiｓ,ｔhｅｂestｓtｒategyｆｏｒasmaｌlｉｎveｓtｏrwithaｐｏrtfolｉowortｈ$４0,０0０ispｒoｂabｌｙto

E．

ｉnvestiｎmｕｔualfuｎds.５0.

Wｈｉchoｆthefoｌlｏwiｎgaｒｅinveｓtｍenｔsupｅrｓtarsｗhohaveｃonsiｓｔｅｎｔlyshoｗnｓuperiorｐerformance?ﻫI)WａrrenBｕｆfeｔ

ＩI)PhoeｂｅBuffeｔﻫIＩＩ)PeteｒLynｃhﻫIV)MerｒillLｙnｃh

V)JiｍmyＢufｆeｔ

C.

IandＩＩＩ５１．

Gｏoｇleｈａsabetａof１.0．Tｈeannualｉzeｄmarkeｔretuｒnyesｔeｒdayｗａs11%,andtheｒisk-freeratｅｉscuｒrｅnｔly5%.YouobservｅthatGｏoglehａdａｎanｎualizedretuｒｎyｅｓteｒdａyof１4%.Assumingtｈａtmarkeｔｓarｅefficient,ｔhｉssugｇeｓtｓtｈat

ﻫＢ．

goodnewｓaboｕtＧｏoglewasaｎnoｕncedｙesteｒｄay.52.

MusiｃDocｔoｒshasabｅtaof２.2５．Ｔheannualizｅdmarｋetreturnyesｔeｒdaywas1２%,ａndtｈeｒisｋ-ｆreeratｅisｃurｒentlｙ4%.YｏuobｓervethａｔＭusicDoｃtorｓhaｄａnaｎnｕａlizeｄｒetuｒnyesterdayof15%.Assuｍｉngthａtmarkｅtsaｒeefｆiｃiｅnｔ,thissuggeｓtｓthaｔ

ﻫA．

badneｗsａｂoｕtMusicDoctorsｗaｓanｎoｕncedｙｅｓｔerday.

53.

QQAGhaｓaｂetaoｆ1.7.Ｔheannualizｅdｍarketｒeturnｙesterdayｗas13%，ａnｄｔherisk-frｅerａｔeｉscurrｅntｌy3%．YouｏｂserｖeｔhatQＱＡGhａｄａnannualizeｄreｔｕｒnyeｓterｄayof20%.Asｓumiｎgthatmarketsaｒeeffｉciｅnｔ，tｈisｓuggesｔｓtｈａｔ

ﻫC.

nｏｓigｎificantneｗｓａboｕｔQQＡGwａsａnnｏuncedyｅsｔｅrdａｙ.５4．

QQAGjustaｎｎounｃedyeｓterdaytｈａｔits４ｔhquartｅrｅarｎingswilｌbe35%ｈｉｇherｔhanlastyeａr's4ｔhqｕarter.YouobsｅrｖｅthatQＱAGhａdanabnoｒmalreturｎｏｆ-1.7%yesterｄay.Ｔhissuｇgeｓtsｔhat

C.

ｉnｖesｔoｒsｅｘpｅｃtｅdtｈｅearningsincreasetobelaｒgｅrthanwhatｗasactuallyannoｕnced.ﻫ５5.

LJＰCoｒporationjustannｏｕnceｄyｅsterdａｙｔｈａｔiｔｗouｌdundｅｒtakeａnｉｎtｅrｎationａｌｊｏiｎｔventｕrｅ.YouobservetｈatLJPｈadａnabｎoｒmａlreturnoｆ3％yeｓtｅrｄａy．Tｈissugｇｅstｓthat

ﻫD.

iｎvｅsｔorsviewｔｈeinｔeｒｎatioｎaljointveｎtureasgoodneｗs.

56.

MusｉｃDｏctorsｊustａｎnouｎｃeｄｙesｔeｒdaｙｔhａtｉts1ｓｔquａrterｓalｅsｗere35％ｈigherthａnｌaｓtyear'ｓ１ｓtquaｒtｅr.ＹoｕoｂservetｈatMusicDｏctoｒsｈadａnabnormaｌreturnｏｆ-2%yｅsterday.Thｉｓsugｇｅｓtsthat

ﻫC.

iｎｖｅsｔorsexｐeｃtedthesaleｓiｎｃreasetobelargerthanwｈaｔwasacｔｕaｌｌyannounｃｅｄ.57.

ＴhｅFｏoｄanｄDrugAdminｉstration（FＤA)justannｏuncedyeｓteｒdaythaｔtｈeywｏuｌdappｒｏveanewcanceｒ－ｆigｈｔｉngdrugｆrｏmＫｉｎg.YoｕobseｒvetｈatKinghaｄａｎabｎoｒmalreｔｕrnof0%yesteｒday.Ｔhissｕggeststｈat

ﻫD.

theapｐrｏvａlwaｓalreadyanticｉpatｅｄｂyｔhemarｋetﻫ58．

Yｏurprｏfessｏrｆinｄsastocｋ-tｒaｄingｒulｅthａtgｅnerａtesexｃｅsｓrｉｓk-ａdjustedｒeturns．Insｔeadofｐublｉshingtheresｕlｔs，ｓhekｅｅpsthetrａdｉｎgrｕｌetoｈerｓeｌf．Ｔhiｓismosｔｃlosｅlyassｏciａtｅdwｉth___＿____.

ﻫＢ.

ｓelectｉoｎbiasﻫ5９.

Aｔｆｒesｈmanｏrｉｅnｔａtion,1，５00ｓtudentsａｒeaskｅdｔｏflｉpａｃoiｎ20times.Onesｔudeｎtiscroｗｎeｄtheｗinｎeｒ(tossed20heaｄs).Thisisｍoｓtcloｓeｌyasｓｏciateｄwith＿＿______.

ﻫＤ.

thｅｌucｋyeventissueﻫ

60.

Ｓｅhun(１986）finｄsthaｔthｅprａctｉceofｍonitｏrｉngｉnｓidertｒadedｉsclｏsuｒｅs,andtradingonthａｔiｎｆｏｒmaｔｉｏｎ,ｗoulｄｂｅ＿_＿＿＿___.

E.

notsufｆicｉentlypｒｏfitaｂlｅtｏcoveｒｔraｄinｇcosts61.

Ifｙｏuｂeｌieｖeiｎthｅreverｓaleｆｆect,youshoulｄ

C.

ｓeｌlｓtｏｃksthisｐｅｒiodthatpeｒformedｗellｌastｐerｉod.ﻫ62.

PatelｌandＷｏｆｌｓon(1984）reportｔhatmoｓｔoftheｓtockpricerｅspoｎsetocorporaｔeｄivｉｄendoreａrningsannoｕnｃeｍeｎtsocｃｕｒswitｈｉn_______＿__＿_oｆｔｈeａnｎounｃｅmeｎt.

ﻫC．

2hoｕrｓ

SｈｏrｔAnswerQuestｉonsﻫ

63.

Disｃussthｅｖarｉｏusformｓofmarketeｆｆiｃieｎcｙ.Iｎｃluｄeinyourdiscｕsｓioｎｔheinformatiｏnsetsinvolｖedineａcｈformaｎdtｈeｒｅlatｉoｎsｈipｓacｒossiｎｆormaｔｉonsetsandａcｒｏｓsｆoｒmsｏfmarｋeteffiｃiｅnｃｙ.Alsodiscuｓstheimplｉcａtionsfoｒthevariousformｓoｆmarketefficieｎcｙｆorthevaｒｉｏustyｐesoｆｓecuritieｓ＇ａnalysts．

Ｔheweaｋfｏrmｏｆtｈeeffiｃienｔｍarkｅｔshypｏthesis(EMＨ）sｔaｔeｓthａtstockpｒicesｉmmediatｅlyｒｅflectmaｒketdata.Markｅtdatａｒefｅrstostockpｒicesanｄｔrａdingvｏlume．Ｔechniｃｉansａttｅmｐttoprｅdiｃｔfuｔｕrｅｓtｏckprｉcｅsbaｓedonhｉｓｔoricsｔｏｃkpｒiceｍoveｍentｓ.Ｔhｕs,ｉftｈewｅakformｏftｈｅEMHholds,tｈeworｋoｆtｈeteｃhnicianisofnovａlｕe．

TｈesｅmistrongfｏｒmoftheEMHｓtatesthaｔstoｃｋpricesｉｎｃludeallpubｌicinformａtion.Thｉspubliｃinｆormationincluｄeｓmaｒkｅｔｄataａnｄaｌloｔherｐｕblicｌyavailablｅinfｏrmatiｏｎ,ｓｕcｈasfiｎanciaｌstａtemenｔs,aｎdａlｌinformａｔionrｅportedinｔhｅｐｒeｓｓrelevａｎｔtoｔheｆｉｒm.Ｔhuｓ,markeｔinfoｒｍａtｉoniｓasuｂseｔofallpuｂｌicinｆorｍatｉon.Aｓareｓuｌt,ｉftheｓｅmistrongfｏrｍｏftheEMＨｈｏｌｄs,theweakformmustholｄａｌso．Iｆｔheseｍｉstrongforｍｈｏｌds,thｅｎｔhefuｎdａmeｎtａｌiｓt,whoattemptstoｉｄentifyｕndervaluedsｅcurｉtiesｂyaｎalyzｉngpubliciｎfoｒmation,isｕnlikeｌytｏdosoｃonsistｅnｔlyｏvｅrｔｉｍe.Ｉnｆact,tｈewoｒkｏfthｅfunｄamentａｌisｔｍaｙmakethｅmarkｅtsｅvｅnmoreｅfｆiciｅnt！

ThestrｏngfｏrmｏftheEMHstatesthaｔaｌlinfoｒmatｉon(publicandprivａtｅ)ｉsｉmmｅdiateｌyｒeflｅｃtedｉnstockｐｒｉcｅｓ.Puｂｌｉｃｉnforｍatｉonisａsubsetofalｌinｆormation,thusifthestroｎｇformｏftheEＭHｈｏｌdｓ，ｔheｓｅmiｓtrｏnｇｆormmｕsthｏldalso.ＴhｅｓｔroｎｇｆoｒmofEMＨstａtesthａtevenwithiｎside(lｅｇalorｉllｅgaｌ）inｆormａｔｉon，onecaｎnotexpｅcttooutpｅｒｆormｔｈemａrｋetcoｎｓｉｓtenｔlyovertime．ﻫStｕdiesｈaｖeｓhｏwnｔhｅｗeaｋｆormtｏhold，wｈｅntranｓactｉｏnｓｃｏsｔｓaｒeｃonsidered.Stｕdiｅsｈａvesｈownthesemｉsｔrongｆoｒｍtohｏldｉngeneｒal,althoughｓｏmｅanｏｍalieｓhａvebeenobｓeｒvｅｄ.Sｔｕdieshａvesｈoｗnthａtｓoｍｅｉnｓiｄers(specｉａｌists，ｍａjｏｒsｈareholdｅｒs,majoｒcorporatｅofficｅrs）doｏuｔperfｏｒmtheｍarket．ﻫＦｅｅdbacｋ:ThｅpurpoｓｅｏfthiｓquｅstiｏｎistoasｓurethatthestudｅｎtｕndeｒstaｎdｓtheinｔerrｅlatｉonshｉｐｓａcrossdifｆerｅnｔformsoftheEＭH,acrｏｓｓtｈeｉｎｆｏｒｍationsｅｔs,andthｅimplｉcaｔioｎsofeachforｍfordifferenttypesoｆａnalysｔｓ.ﻬ6４．

Whaｔｉｓaneventｓtudy?Itiｓａtestofｗｈatformofmarketefｆiciency?Ｄiscuｓｓcｅsｓofconductiｎganｅvｅntｓｔudy，includingthebeｓｔvａriａble(s)toobserｖeastesｔｓｏfmａｒkeｔefｆｉｃｉency.

Aｅｖenｔstuｄyisanempｉricaltestwhichallowstｈeｒeseａｒchertoasｓeｓｓtheiｍpａctｏfapartiｃulaｒｅventｏnaｆirm'sstｏｃkｐｒice．Tｏdｏsｏ,oneoftｅnｕseｓtheinｄeｘmodelandｅstiｍａtｅseｔ，theｒesiｄuａlｔeｒmwhichmeasuｒｅｓtheｆiｒm-spｅｃifｉponｅｎtｏfthestock'sｒｅｔurn．Tｈisvａrｉableiｓtｈedｉｆfereｎcebetｗeenthｅrｅturｎthesｔｏｃkwouldordinariｌyearnfｏragivenlｅvelofmａrketpｅｒfｏｒmanｃｅandtｈeactｕalratｅofreturｎonthｅstock.Thｉsmeasureisｏftｅnrｅferredtoastheaｂnｏｒmａｌreｔurnoftｈｅsｔocｋ．Hoｗeｖer,iｔｉsvｅｒydiｆfｉcuｌｔtｏｉdentifyｔheｅxacｔpoiｎtintimｅthａtaｎeventbecoｍeｓpubｌiciｎfｏrｍatｉon;ｔｈｕs，theｂettｅrmeａsureiｓthecumuｌativeabｎoｒmａｌreturｎ，whｉchiｓｔhesｕmｏｆabnormａlretuｒｎsoveraperiｏdoｆtime(ａwinｄowaｒouｎdｔheeｖｅｎtdaｔｅ)．

Ｔhisｔecｈｎｉｑuemaｙbeuｓｅｄtｏstuｄｙtｈeｅfｆｅctofanypｕblicevenｔonafｉrm'sstocｋprice；tｈus,thistechniqｕeisatesｔoftｈesｅmistrｏｎgfoｒmｏｆtheＥＭH.

Fｅedback:Therａtｉonａleforｔhisquｅstｉonistoascｅrｔainiｆｔｈestudentundersｔandsthｅmethodｏｌoｇｙｍoｓｔcoｍmｏnlyusedａｓatestoｆthesｅｍistrｏngｆｏrｍofmarkeｔefficieｎcy．

６5.

Discussthesmaｌｌｆｉrmefｆect,theｎeｇlｅcｔeｄfｉｒmeffｅct,andｔheJanuaryｅfｆeｃt，ｔhetaxeffｅcｔaｎdｈｏwtｈefourｅfｆectｓmayｂerｅｌａtｅd.

Studｉｅshaｖeshowntｈaｔsmallｆｉrｍｓeａrnarｉsk-adjuｓtｅdraｔeofretｕｒｎgreaterthanthatｏflａｒｇerfirｍs.Adｄｉｔioｎaｌstｕｄiesｈａvesｈoｗｎthatfirｍsthataｒeｎoｔｆoｌlowｅdbyaｎaｌyｓts（negｌectｅdｆirｍｓ)alｓohavｅarisｋ-adjustedreturｎｇreａtｅrthaｎthatoflarｇｅｒfirmｓ．Hｏweｖｅr,thenegｌectedfirｍstenｄtobｅsmallｆiｒmｓ;tｈuｓ,theｎegｌecteｄｆiｒｍeffeｃtmａyｂeamaｎifｅｓｔationoｆtｈesmallfirmeffｅｃｔ.Ｆinallｙ，studieshaveshownthatretｕrnsinJａｎｕarｙｔenｄtobehigherｔhaninotheｒmontｈsｏftheyeaｒ．Thiｓefｆeｃthａsbeｅnshoｗntopｅｒsisｔｃonsistｅntlyoｖｅrtheｙeａrs．Hoｗｅｖｅｒ,theJａｎｕａｒｙeｆfeｃtｍaｙbetｈetaxeffeｃｔ，aｓinvｅｓｔorsmayｈaveｓoldstocｋswithloｓsesinＤｅｃemberfortaxpurposesanｄｒｅinｖestｅｄinJanuａry.Sｍaｌｌfｉrｍs(ａｎdnｅｇｌｅcteｄfｉrms）woulｄtendtobemoreafｆecteｄｂythisinｃrｅaseｄbuｙｉngthanlargerfirｍs，ａsｓmallfirmｓtendtoseｌlfｏrlｏwｅrｐｒｉｃeｓ.ﻫFeedback：Theｐuｒｐoｓeoftｈiｓqueｓtionistoｒeinfoｒceｔheiｎterｒeｌaｔionships，thａt"ｅffects＂ｍaynotaｌwａyｓｂeindepenｄentａndｔｈuｓreadilyideｎtｉfｉaｂle．Alsotｈｅseeffｅｃtsａrewidｅlｙdisｃussedintｈefinancｉaｌpresｓ,aｎdtheＪaｎuaｒyefｆeｃtappearstobｅquｉtｅｐersisteｎt.66.

Whymightthedegreｅoｆmａｒkｅtefficｉeｎcydiffeｒacrossvariｏusmａｒkets?Ｓtatethrｅｅｒｅａsonsｗｈyｔｈｉsmiｇhtoｃcurandｅxｐlaineacｈrｅaｓonbriefly.

1.Mａｒkeｔｅffiｃieｎcydependｓoninｆorｍationｂｅｉｎgesseｎtiallyfｒｅeandcｏsｔlesstomaｒketｐａrｔｉcipants.IｎtheU.Ｓ.ｍaｒkｅtsｔhisisthecasｅtoａlargeｅｘtent.ThｅU．S．mａrketsarewelldevelｏｐedandprｏfesｓionａlａnａlystsoftｅnfoｌｌｏｗｓecuｒｉties.Infoｒmaｔioniｓavaiｌabｌｅｏnteleｖｉsion,ｉnｔhepｒess，anｄonｔheＩnteｒneｔ.Ｔhｅoｐｐoｓiｔemaybetrueｉnotheｒmaｒkeｔs,sｕcｈasｔｈoseofdevelｏｐｉｎgｃｏuntries,ｗｈeｒｅtherearｅfeｗeroｒnoanａlystｓanｄfewmａrketpａrtiｃｉpantsｗｉtｈｔhｅseｒesｏurｃes.２.Aｃcｏunｔｉnｇdisｃlｏsuｒerｅquirｅmeｎtsａrｅdiｆfereｎtａcrossmaｒｋets.InｔｈｅU．S．firmsｍustmeｅtSＥCrｅquｉrementstobeｐubliｃｌyｔraded.Iｎotｈerｃoｕｎｔriestherequiremeｎtsmaybedifｆｅreｎｔornoneｘisteｎｔ．Thｉshasimpliｃaｔiｏnsabouttｈeeaｓeｗｉtｈｗｈｉchanaｌystsｃａnevａluatetｈｅcoｍpanｙｔoｄeterｍｉｎeitspropervａｌue.3.Ｍarｋetｓfｏr"neglecteｄ"stｏcｋsmaybeｌesseffｉciｅntｔｈanmarｋeｔsfoｒstocｋｓtｈaｔareｈeavilyfolｌowedbｙanaｌystｓ.Ifanａlyｓｔsfeｅlthａtｉtisnｏtworthwhiletｏgivethｅiｒaｔtentiontopａrｔicularsｔockｓｔheｎampleinfｏrmａｔｉonaboｕtｔhesesｔocｋswｉllnｏtbｅreadｉlｙaｖailabletoｉnvestors.

Fｅｅdｂａck:Ｔhisquesｔiｏnlｅadstheｓtｕdentｔolookatsomeoftｈefuｎdamentaｌrｅaｓoｎｓｆｏrmarｋetefｆicｉencyanｄwｈytheremayｂedifferencesamonｇmarketsｗitｈreｇａrdtothｅreａsons.Alteｒnativeanｓwerｓaｒepossｉble.67.

Withｒegardtomarkeｔeｆfiｃiency,whatｉsｍｅａntbythe