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时间:2020-03-08
《投资学10版习题答案11.doc》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、Chapter11-TheEfficientMarketHypothesisCHAPTER11:THEEFFICIENTMARKETHYPOTHESISPROBLEMSETS1.Thecorrelationcoefficientbetweenstockreturnsfortwononoverlappingperiodsshouldbezero.Ifnot,returnsfromoneperiodcouldbeusedtopredictreturnsinlaterperiodsandmakeabnormalprofits.2.No.Microsoft’scontinuingprofitabili
2、tydoesnotimplythatstockmarketinvestorswhopurchasedMicrosoftsharesafteritssuccesswasalreadyevidentwouldhaveearnedanexceptionallyhighreturnontheirinvestments.ItsimplymeansthatMicrosofthasmaderiskyinvestmentsovertheyearsthathavepaidoffintheformofincreasedcashflowsandprofitability.Microsoftshareholdersh
3、avebenefitedfromtherisk-expectedreturntradeoff,whichisconsistentwiththeEMH.3.Expectedratesofreturndifferbecauseofdifferentialriskpremiumsacrossallsecurities.4.No.Thevalueofdividendpredictabilitywouldbealreadyreflectedinthestockprice.5.No,marketscanbeefficientevenifsomeinvestorsearnreturnsabovethemar
4、ketaverage.ConsidertheLuckyEventissue:Ignoringtransactioncosts,about50%ofprofessionalinvestors,bydefinition,will“beat”themarketinanygivenyear.Theprobabilityofbeatingitthreeyearsinarow,thoughsmall,isnotinsignificant.Beatingthemarketinthepastdoesnotpredictfuturesuccessasthreeyearsofreturnsmakeuptoosma
5、llasampleonwhichtobasecorrelationletalonecausation.6.Volatilestockpricescouldreflectvolatileunderlyingeconomicconditionsaslargeamountsofinformationbeingincorporatedintothepricewillcausevariabilityinstockprice.Theefficientmarkethypothesissuggeststhatinvestorscannotearnexcessrisk-adjustedrewards.Theva
6、riabilityofthestockpriceisthusreflectedintheexpectedreturnsasreturnsandriskarepositivelycorrelated.7.Thefollowingeffectsseemtosuggestpredictabilitywithinequitymarketsandthusdisprovetheefficientmarkethypothesis.However,considerthefollowing:11-10Copyright©2014McGraw-HillEducation.Allrightsreserved.Nor
7、eproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.Chapter11-TheEfficientMarketHypothesisa.Multiplestudiessuggestthat“value”stocks(measuredoftenbylowP/Emultiples)earnhigherre
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