资源描述：
《Investment 9ed Chaps 8-9 answer》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、CHAPTER08THEEFFICIENTMARKETHYPOTHESIS1.Thecorrelationcoefficientshouldbezero.Ifitwerenotzero,thenonecouldusereturnsfromoneperiodtopredictreturnsinlaterperiodsandthereforeearnabnormalprofits.2.Thephrasewouldbecorrectifitweremodifiedtosay“expectedriskadjustedreturns.”Securitiesallhavethesamerisk
2、adjustedexpectedreturnifpricedfairly;however,actualresultscananddovary.Unknowneventscausecertainsecuritiestooutperformothers.Thisisnotknowninadvance,soexpectationsaresetbyknowninformation.3.Overthelonghaul,thereisanexpectedupwarddriftinstockpricesbasedontheirfairexpectedratesofreturn.Thefairex
3、pectedreturnoveranysingledayisverysmall(e.g.,12%peryearisonlyabout0.03%perday),sothatonanydaythepriceisvirtuallyequallylikelytoriseorfall.However,overlongerperiods,thesmallexpecteddailyreturnscumulate,andupwardmovesareindeedmorelikelythandownwardones.4.No,thisisnotaviolationoftheEMH.Microsoft’
4、scontinuinglargeprofitsdonotimplythatstockmarketinvestorswhopurchasedMicrosoftsharesafteritssuccessalreadywasevidentwouldhaveearnedahighreturnontheirinvestments.5.No.Thenotionofrandomwalknaturallyexpectstheretobesomepeoplewhobeatthemarketandsomepeoplewhodonot.Theinformationprovided,however,fai
5、lstoconsidertheriskoftheinvestment.Higherriskinvestmentsshouldhavehigherreturns.Aspresented,itispossibletobelievehimwithoutviolatingtheEMH.6.b.Thisisthedefinitionofanefficientmarket.7.d.Itisnotpossibletoofferahigherrisk-returntradeoffifmarketsareefficient.8.Strong-formefficiencyincludesallinfo
6、rmation:historical,public,andprivate.9.Incorrect.Intheshortterm,marketsreflectarandompattern.Informationisconstantlyflowingintheeconomyandinvestorseachhavedifferentexpectationsthatvaryconstantly.Afluctuatingmarketaccuratelyreflectsthislogic.Furthermore,whileincreasedvariabilitymaybetheresultof
7、anincreaseinunknownvariables,thismerelyincreasesriskandthepriceisadjusteddownwardasaresult.10.c.Ifthestocksareovervalued,withoutregulativerestrictionsorotherconstraintsonthetrading,someinvestorsobservingthistrendwouldbeabletoformatradin
