[請益] 請問有關效率市場假說的問題

看板CFAiafeFSA (精算師/基金經理人/銀行家)作者aaaccciii (safe)時間17年前 (2008/04/12 23:38)推噓0(0推 0噓 1→)

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- If markets are efficient, what would be the expected return behavior around a positive dividend surprise (use a chart or a verbal description to qualitatively describe return behavior before, at, and after the announcement)? - An internet company’s CEO announces that it will be divesting its loss-making payment system unit. The company’s stock price goes up by 5% on the day of the announcement, equivalent to an abnormal return of 2.5%, and stays at the high level thereafter. Is this consistent with market efficiency? Can you think of a trading rule? - In December of 2002, a new manager was hired by a struggling domestic equities hedge fund. In 2003-2007, the hedge fund has realized absolute returns in excess of 40% a year. Is this fund’s performance consistent with market efficiency? (Give a qualitative answer and state your reasoning.) 第一題我是認為既然符合效率市場所有的資訊會立刻公開反映所以return 在前中後三個時間點應該都持平不應該會有abnormal的情況發生第二題就感覺應該是不符合效率市場了應該是不符合半強勢效率市場嗎? 第三題應該也是不符合....嗎?? 但是我有點搞不清楚他是不符合哪一個 -- ※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 66.67.50.218