权益证券投资：证券市场(一)及答案解析.doc

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1、权益证券投资：证券市场(一)及答案解析(总分：58.00，做题时间：90 分钟)一、B单项选择题/B(总题数：58，分数：58.00)1.In calculating the Standard 12.5/10=1.25; 10/7.50=1.33; 8/5=1.60(1+1.25+1.33+1.60)/4=1.295Geometric mean: 5/5=1; 12.5/10=1.25; 10/7.50=1.33; 8/5=1.60(11.251.331.60)1/4=1.27717.An analyst gathered the following data about stocks J,

2、K and L, which together form a value-weighted index: December 31, Year 1 December 31, Year 2Stock Price Shares Outstanding Price Shares OutstandingJ $40 10000 $50 10000K $30 6000 $20 12000xL $50 9000 $40 9000x:2 for 1 stock splitThe ending value-weighted index ( bare index = 100) is closest to: A. 9

3、2.31. B. 93.64. C. 106.80.（分数：1.00）A.B.C. D.解析：*18.Which of the following would provide evidence against the semi-strong form of the efficient market theory? A. Low P/E stocks tend to have positive abnormal returns over the long run. B. Trend analysis is worthless in determining stock prices. C. All

4、 investors have learned to exploit signals related to future performance.（分数：1.00）A. B.C.D.解析：P/E information is publicly available information and therefore this test relates to the semistrong-form EMH. Trend analysis is based on historical information and therefore relates to the weak-form EMH. If

5、 all investors exploit the same information no excess returns are possible.19.The evidence suggests that the correlation of returns between U.S. government bonds and an index of international government bonds is: A. between 0.0 and -0.5, and that between indices of U. S. investment grade bonds is be

6、tween 0.0 and 0.5. B. between 0.0 and 0.5, and that between indices of U. S. investment grade bonds is close to 1.0. C. between 0.0 and 0.5, and that between indices of U. S. investment grade bonds is between 0.25 and 0.75.（分数：1.00）A.B. C.D.解析：The evidence suggests that the correlation of returns be

7、tween U.S. and non-U. S. government bonds is approximately 0.35, while that between indices of investment grade U.S. bonds is close to 1.0.20.Which category of tests assumes that, in an efficient market, securities lie on the security market line? A. Event studies. B. Cross-sectional tests. C. Time-

8、series tests.（分数：1.00）A.B. C.D.解析：Cross-sectional tests operate under the assumption that, in an efficient market, all securities must lie directly on the security market line.21.Fundamental analysis studies indicate that: A. the bottom up approach to analysis will not yield superior results if the

9、analysis only looks at past and current information. B. the top down approach to analysis will not yield superior results if the analysis only looks at past and current information. C. the top down approach to analysis will not yield superior results if the analysis looks at past, current and future

10、 information.（分数：1.00）A.B. C.D.解析：Fundamental analysis studies indicate that the top down approach to analysis will not yield superior results if the analysis only looks at past and current information.22.With regard to stock market indexes, it is least likely that: A. the use of a geometric mean pr

11、oduces a downward bias on an equal-weighted index compared to the use of an arithmetic mean. B. the use of price weighting versus market value weighting produces a downward bias on the index. C. a value-weighted index must be adjusted for stock splits but not for dividends.（分数：1.00）A.B.C. D.解析：A pri

12、ce-weighted index needs to be adjusted for Stock splits, but a value-weighted index does not. Neither type of index considers dividend income. Using a geometric mean rather than an arithmetic mean will produce a lower value for an equal-weighted index. Price weighting produces a downward bias compar

13、ed to market weighting because firms that split their stocks (which tend to be the more successful firms ) decrease in weight within a price-weighted index.23.Which of the following statements regarding regulations governing the short-sale process is FALSE? A. The short seller must pay a margin equi

14、valent to the prevailing margin requirement when the transaction is made. B. If dividends are paid on the stock during the short-sale transaction, the short seller must pay dividends to the investor that loaned the stock. C. The short-sale process must be completed within a 90-day period.（分数：1.00）A.

15、B.C. D.解析：There are no regulations regarding a time limit associated with short sales.24.Which of the following statements about bonds, indexes, markets, and market efficiency is FALSE ? A. A price-weighted index assumes the investor holds an equal number of shares of the stocks in the index. B. Tes

16、ts of market efficiency find that stock exchange specialists derive above-average returns. C. The bulk of all bond trading takes place on organized exchanges.（分数：1.00）A.B.C. D.解析：The bulk of all bond trading takes place in the over-the-counter bond markets.25.The characteristic of a regional exchang

17、e is such that: A. it competes with and supplements the national exchanges by providing primary markets for the stocks of smaller companies. B. it competes with and supplements the national exchanges by providing secondary markets for the stocks of smaller companies . C. it competes with and supplem

18、ents the national exchanges by providing primary markets for the stocks of larger companies.（分数：1.00）A.B. C.D.解析：The characteristic of a regional exchange is such that it competes with and supplements the national exchanges by providing secondary markets for the stocks of smaller companies.26.Which

19、of the following statements best describes the investment assumption used to calculate an unweighted price indicator series? A. An equal dollar investment is made in each stock in the index. B. A proportionate market value investment is made for each stock in the index. C. A proportionate market cap

20、italization is made for each stock in the index.（分数：1.00）A. B.C.D.解析：The unweighted price indicator series assumes that an equal dollar investment is made in each stock in the index. All stocks carry equal weight regardless of their price or market value.27.Which of the following indexes is a price

21、weighted index? A. The New York Stock Exchange Index. B. The Tokyo Stock Exchange Index. C. The Nikkei Dow Index.（分数：1.00）A.B.C. D.解析：The Nikkei Dow Index is a price-weighted index. The other three are market value-weighted indexes.28.Capital market efficiency is desirable, but there are limitations

22、 in achieving full market efficiency. Which of the following is least likely to be a limitation in achieving full capital market efficiency? A. Cost of trading. B. Survivorship bias. C. Limits of arbitrage.（分数：1.00）A.B. C.D.解析：Survivorship bias is not a limitation in achieving market efficiency. It

23、is a source of unreliability of a market anomaly.29.Assume 100 shares purchased at $75/share with an initial margin of 50 percent.The initial cost to the investor is: A. $0. B. $3750. C. $7500.（分数：1.00）A.B. C.D.解析：$75/share100 shares=$7500 50% margin means investor only * of the $7500=$3750.30.Membe

24、rs of the exchange who act as brokers but do not work for a specific brokerage firm are referred to as: A. commission brokers. B. registered brokers. C. floor brokers.（分数：1.00）A.B.C. D.解析：Floor brokers are independent brokers that help other brokerage firms fill orders when they are unable to handle

25、 the volume of orders.31.Which of the following statements about selling shares of stock is FALSE? A. The “depth“ of the market is typically defined as the number of traders willing to trade at prices above and below the current price. B. If the initial margin requirement is 50% and the maintenance

26、margin requirement is 25%, the investor who buys a stock at $26 on margin will receive a margin call when the stock hits $17.33. C. Initial public offerings are sold in the secondary market.（分数：1.00）A.B.C. D.解析：IPOs are sold in the primary market.32.Which of the following statements concerning the p

27、ersistence of pricing anomalies is least likely to be correct? A. Arbitrageurs may exploit opportunities down to the point where the remaining mispricing is approximately equal to transactions costs. B. If the shares of an IPO cannot be shorted, mispricing may be difficult to exploit. C. Small profi

28、t opportunities are difficult to exploit in the absence of derivative securities.（分数：1.00）A.B.C. D.解析：The size of the profit opportunity is likely to be more important than the absence of derivative securities. Thus, this statement is the least likely to be correct from those given for the persisten

29、ce of mispricing.33.When using margin to invest in equities, which of the following defines initial margin and what level will the margin be brought back to in the event of a margin call? Initial margin Margin call action A. amount of borrowed funds in the transactions a deposit must be made to brin

30、g the margin back to the initial margin B. amount of borrowed funds in the transactions a deposit must be made to bring the margin back to the maintenance margin C. minimum amount of equity required of the investor a deposit must be made to bring the margin back to the maintenance margin A. B. C. （分

31、数：1.00）A.B.C. D.解析：The initial margin requirement refers to the minimum amount of equity required of the investor. With equities, if the margin falls below the maintenance margin, funds must be deposited to bring it back up to the maintenance margin level.34.With respect to behavioral finance, the t

32、endency to place too much faith in an earnings forecast is known as: A. confirmation bias. B. overconfidence bias. C. escalation bias.（分数：1.00）A.B. C.D.解析：The tendency to place too much faith in an earnings forecast falls under the heading of overconfidence bias in the context of behavioral finance.

33、35.Which of the following statements about arbitrage and market anomalies is most accurate? A. Investors of the funds that arbitrageurs and traders use are generally too patient and fail to remove funds in a timely manner when trades go against them. B. Arbitrageurs have more capital at their dispos

34、al than they require enabling them to pursue any security mispricing. C. In pairs trading, where an arbitrageur purchases the underpriced security and shorts the overpriced security, stock-specific risk remains.（分数：1.00）A.B.C. D.解析：Even in pairs trading, where an arbitrageur buys the underpriced sec

35、urity and shorts the overpriced security, significant risk from stock-specific factors remains.36.Which of the following statements best describes the limits of arbitrage in correcting market anomalies? A. When fundamentals indicate that a stock is overvalued or undervalued, trading based on this in

36、formation will be immediately profitable. B. Arbitrage is not always risk-less as was shown during the internet stock bubble of the 1990s, when traders were short a stock and had to cover their positions at a much higher takeover price. C. There is no limitation to arbitrage in correcting market ano

37、malies because it is a risk-less trading activity and once there is a mispricing it will be exploited to its fullest.（分数：1.00）A.B. C.D.解析：There are limits on the process of arbitrage to bring about efficient prices. Arbitrage is frequently not risk-less. Just because fundamentals indicate that one s

38、tock is overpriced relative to another, or absolutely over or underpriced doesnt mean that trading based on this information will be immediately profitable. One risk with shorting overvalued stocks during the internet stock bubble of the late 90s was that a stock a trader sold short would be taken o

39、ver at a significantly higher price. The fact that the acquiring firm paid too much for shares offers no solace to short sellers who have to cover their positions at the takeover price.37.Which of the following conclusions about the semi-strong form of the efficient market hypothesis (EMH) and the s

40、trong-form EMH is FALSE? A. If the strong form of market efficiency were true, there would be no need for insider trading laws. B. Neglected firms (i. e. those firms with a small number of analysts following them) tend to underperform the market. C. Professional money managers, as a group, have not

41、been able to produce returns that consistently exceed the market.（分数：1.00）A.B. C.D.解析：Neglected firms tend to outperform the market.38.Which of the following statements about the maintenance margin requirement is FALSE? A. The purpose of the maintenance margin requirement is to protect the broker in

42、 the event of a large stock decline. B. The Federal Reserve sets the maximum maintenance margin. C. Generally the maintenance margin requirement is lower than the initial margin requirement.（分数：1.00）A.B. C.D.解析：The Federal Reserve sets the minimum maintenance margin and individual investment compani

43、es may set higher margins if they wish.39.A composite series of stocks and bonds makes it possible to: A. examine the benefits of diversifying with a combination of asset classes such as stocks and bonds in addition to diversifying with the asset classes of stocks or bonds. B. examine the correlatio

44、n among the various asset classes of stocks or bonds. C. examine the benefits of diversifying with a combination of asset classes such as stocks and bonds.（分数：1.00）A. B.C.D.解析：A composite series of stocks and bonds makes it possible to examine the benefits of diversifying with a combination of asset

45、 classes such as stocks and bonds in addition to diversifying with the asset classes of stocks or bonds.40.Documented market anomalies include all of the following EXCEPT: A. the greater the ratio of book value/market value, the greater the risk-adjusted rate of return. B. low P/E ratio stocks exper

46、ience superior results to the market. C. the ability for an investor to profit by buying stocks on Friday and selling them on Monday.（分数：1.00）A.B.C. D.解析：The weekend effect actually shows that there is a negative return from buying stocks on Friday and selling them on Monday. The book value /market

47、value ratio effect, the neglected firm effect, and the P/E ratio effect are all documented market anomalies.41.If a firm announces an unexpectedly large cash dividend, the efficient market hypothesis (EMH) would predict which of the following price changes at the announcement? A. An abnormal price c

48、hange to occur before the announcement. B. An abnormal price change to occur at the time of the announcement. C. A gradual price change to occur for several weeks after the announcement.（分数：1.00）A.B. C.D.解析：Market efficiency assumes investors adjust their estimate of security prices rapidly to refle

49、ct their interpretation of the new information received. Market efficiency also assumes that new information comes to market randomly and is available to all investors at the same time. Therefore, the price should not be reflected prior to the announcement.42.Assuming that markets are efficient, which of the following statements is FALSE? A. Markets will not be volatile. B. Investors should not trade