Question 1

Which of the following results may be inconsistent with semi-strong-form market efficiency?

Accepted Answer

A) Share returns follow a predictable trend after a profit announcement. 
B) Share prices react instantaneously to profit announcements. 
C) Abnormal returns are not detected around profit announcements. 
D) None of the given options. 
A) Share returns follow a predictable trend after a profit announcement. 
B) Share prices react instantaneously to profit announcements. 
C) Abnormal returns are not detected around profit announcements. 
D) None of the given options.

Question 2

A company with a low book-to-market ratio is:

Accepted Answer

A) a company that has had good years in the past but that the market now judges to have poor prospects. 
B) a company that the market judges to have good prospects. 
C) a company that the market judges to have poor prospects. 
D) both a company that has had good years in the past but that the market now judges to have poor prospects,and a company that the market judges to have poor prospects. 
A) a company that has had good years in the past but that the market now judges to have poor prospects. 
B) a company that the market judges to have good prospects. 
C) a company that the market judges to have poor prospects. 
D) both a company that has had good years in the past but that the market now judges to have poor prospects,and a company that the market judges to have poor prospects.

Question 3

An investment strategy in which the tax rules make it attractive for an investor to sell certain shares just before the end of the tax year is known as:

Accepted Answer

A) the turn of the month effect. 
B) the December effect. 
C) tax loss selling. 
D) the tax effect. 
A) the turn of the month effect. 
B) the December effect. 
C) tax loss selling. 
D) the tax effect.

Question 4

___________ studies are a research methodology commonly employed to test for semi-strong-form efficiency.

Accepted Answer

The answer of ___________ studies are a research methodology commonly...

Question 5

The size-effect is based on observations that the returns of large firms exceed the returns on the shares of smaller companies both before and after adjusting for beta risk.

Accepted Answer

A) True 
 B)False

Question 6

Outline the basic features of event study methodology and the implications of event studies for the EMH.

Accepted Answer

The basic feature of event studies is to

Question 7

If fund managers display superior investment performance,it can then be said that:

Accepted Answer

A) the market is strong-form efficient. 
B) the market is not strong-form efficient but is at least semi-strong-form efficient. 
C) fund managers do not use past information to derive trading strategies. 
D) this evidence provides an indirect test of strong-form efficiency. 
A) the market is strong-form efficient. 
B) the market is not strong-form efficient but is at least semi-strong-form efficient. 
C) fund managers do not use past information to derive trading strategies. 
D) this evidence provides an indirect test of strong-form efficiency.

Question 8

French (1980)showed that a daily index of US share prices over the period 1953-77 showed that average returns on:

Accepted Answer

A) Mondays were negative while average returns on Fridays were positive. 
B) Mondays were positive while average returns on Fridays were negative. 
C) Mondays were negative while average returns on Thursdays were positive. 
D) Mondays were positive while average returns on Thursdays were negative. 
A) Mondays were negative while average returns on Fridays were positive. 
B) Mondays were positive while average returns on Fridays were negative. 
C) Mondays were negative while average returns on Thursdays were positive. 
D) Mondays were positive while average returns on Thursdays were negative.

Question 9

Which of the following statements is the most consistent with evidence provided on the EMH?

Accepted Answer

A) It is not clear that the market can be expected to respond positively to unexpected good news. 
B) Anomalies have a great capacity to generate risk-adjusted excess returns for an investor. 
C) Event tests are joint tests of the asset-pricing model used and market efficiency. 
D) Financial managers of small companies should interpret this evidence as an indication that shares of small companies are under-priced and shares of large companies are over-priced. 
A) It is not clear that the market can be expected to respond positively to unexpected good news. 
B) Anomalies have a great capacity to generate risk-adjusted excess returns for an investor. 
C) Event tests are joint tests of the asset-pricing model used and market efficiency. 
D) Financial managers of small companies should interpret this evidence as an indication that shares of small companies are under-priced and shares of large companies are over-priced.

Question 10

In an efficient market,a simple buy-and-hold policy is:

Accepted Answer

A) the best strategy because trying to beat the market is almost impossible. 
B) the best strategy because evidence suggests that even private information cannot yield abnormal returns. 
C) not the best strategy because,as share prices change over time,portfolios warrant re-balancing. 
D) not the best strategy because,in an efficient market,some investors must believe that the market is inefficient. 
A) the best strategy because trying to beat the market is almost impossible. 
B) the best strategy because evidence suggests that even private information cannot yield abnormal returns. 
C) not the best strategy because,as share prices change over time,portfolios warrant re-balancing. 
D) not the best strategy because,in an efficient market,some investors must believe that the market is inefficient.

Question 11

A _______________ policy is an investment strategy in which shares are bought and then retained in the investor's portfolio for a long period.

Accepted Answer

The answer of A _______________ policy is an investment strategy...

Question 12

The area of behavioural finance suggests that investors:

Accepted Answer

A) always behave rationally,which supports the EMH. 
B) never behave irrationally and the market is not efficient. 
C) may not behave rationally and this limits the arbitrage opportunities of rational investors. 
D) None of the given options is correct. 
A) always behave rationally,which supports the EMH. 
B) never behave irrationally and the market is not efficient. 
C) may not behave rationally and this limits the arbitrage opportunities of rational investors. 
D) None of the given options is correct.

Question 13

An investor discovers that for a certain group of shares,large positive price changes are always followed by large negative price changes.This finding is a violation of the:

Accepted Answer

A) semi-strong form of the EMH. 
B) the moderate form of the EMH. 
C) the strong form of the EMH. 
D) the weak form of the EMH. 
A) semi-strong form of the EMH. 
B) the moderate form of the EMH. 
C) the strong form of the EMH. 
D) the weak form of the EMH.

Question 14

Tests of return predictability are designed to:

Accepted Answer

A) detect systematic patterns in asset prices. 
B) generate abnormal returns. 
C) differentiate between the forms of efficiency. 
D) do none of the given options. 
A) detect systematic patterns in asset prices. 
B) generate abnormal returns. 
C) differentiate between the forms of efficiency. 
D) do none of the given options.

Question 15

The field of behavioural finance argues that the efficiency of markets is ensured through the fallibility of human beings in competitive markets.

Accepted Answer

A) True 
 B)False

Which of the following results may be inconsistent with semi-strong-form market efficiency?

A company with a low book-to-market ratio is:

An investment strategy in which the tax rules make it attractive for an investor to sell certain shares just before the end of the tax year is known as:

___________ studies are a research methodology commonly employed to test for semi-strong-form efficiency.

The size-effect is based on observations that the returns of large firms exceed the returns on the shares of smaller companies both before and after adjusting for beta risk.

Outline the basic features of event study methodology and the implications of event studies for the EMH.

If fund managers display superior investment performance,it can then be said that:

French (1980)showed that a daily index of US share prices over the period 1953-77 showed that average returns on:

Which of the following statements is the most consistent with evidence provided on the EMH?

In an efficient market,a simple buy-and-hold policy is:

A _______________ policy is an investment strategy in which shares are bought and then retained in the investor's portfolio for a long period.

The area of behavioural finance suggests that investors:

An investor discovers that for a certain group of shares,large positive price changes are always followed by large negative price changes.This finding is a violation of the:

Tests of return predictability are designed to:

The field of behavioural finance argues that the efficiency of markets is ensured through the fallibility of human beings in competitive markets.

Introduction

Consumption, Investment and the Capital Market

The Time Value of Money: An Introduction to Financial Mathematics

Applying the Time Value of Money to Security Valuation

Project Evaluation: Principles and Methods

The Application of Project Evaluation Methods

Risk and Return

The Capital Market

Sources of Finance: Equity

Sources of Finance: Debt

Payout Policy

Principles of Capital Structure

Capital Structure Decisions

The Cost of Capital and Taxation Issues in Project Evaluation

Leasing and Other Equipment Finance

Futures Contracts

Options and Contingent Claims

Analysis of Takeovers

International Financial Management

Management of Short-Term Assets: Inventory

Management of Short-Term Assets: Liquid Assets and Accounts Receivable

Filters

Exam 16: Capital Market Efficiency

Which of the following results may be inconsistent with semi-strong-form market efficiency?

A company with a low book-to-market ratio is:

An investment strategy in which the tax rules make it attractive for an investor to sell certain shares just before the end of the tax year is known as:

___________ studies are a research methodology commonly employed to test for semi-strong-form efficiency.

The size-effect is based on observations that the returns of large firms exceed the returns on the shares of smaller companies both before and after adjusting for beta risk.

Outline the basic features of event study methodology and the implications of event studies for the EMH.

If fund managers display superior investment performance,it can then be said that:

French (1980)showed that a daily index of US share prices over the period 1953-77 showed that average returns on:

Which of the following statements is the most consistent with evidence provided on the EMH?

In an efficient market,a simple buy-and-hold policy is:

A _______________ policy is an investment strategy in which shares are bought and then retained in the investor's portfolio for a long period.

The area of behavioural finance suggests that investors:

An investor discovers that for a certain group of shares,large positive price changes are always followed by large negative price changes.This finding is a violation of the:

Tests of return predictability are designed to:

The field of behavioural finance argues that the efficiency of markets is ensured through the fallibility of human beings in competitive markets.

Introduction

Consumption, Investment and the Capital Market

The Time Value of Money: An Introduction to Financial Mathematics

Applying the Time Value of Money to Security Valuation

Project Evaluation: Principles and Methods

The Application of Project Evaluation Methods

Risk and Return

The Capital Market

Sources of Finance: Equity

Sources of Finance: Debt

Payout Policy

Principles of Capital Structure

Capital Structure Decisions

The Cost of Capital and Taxation Issues in Project Evaluation

Leasing and Other Equipment Finance

Futures Contracts

Options and Contingent Claims

Analysis of Takeovers

International Financial Management

Management of Short-Term Assets: Inventory

Management of Short-Term Assets: Liquid Assets and Accounts Receivable

Filters