金融市场与机构(6)解析

Chapter 6

Are Financial Markets Efficient?

Multiple Choice Questions

1. How expectations are formed is important because expectations influence

(a) the demand for assets.

(b) bond prices.

(c) the risk structure of interest rates.

(d) the term structure of interest rates.

(e) all of the above.

Answer: E

2. According to the efficient market hypothesis, the current price of a financial security

(a) is the discounted net present value of future interest payments.

(b) is determined by the highest successful bidder.

(c) fully reflects all available relevant information.

(d) is a result of none of the above.

Answer: C

3. The efficient market hypothesis

(a) is based on the assumption that prices of securities fully reflect all available information.

(b) holds that the expected return on a security equals the equilibrium return.

(c) both (a) and (b).

(d) neither (a) nor (b).

Answer: C

4. If the optimal forecast of the return on a security exceeds the equilibrium return, then

(a) the market is inefficient.

(b) an unexploited profit opportunity exists.

(c) the market is in equilibrium.

(d) only (a) and (b) of the above are true.

(e) only (b) and (c) of the above are true.

Answer: D

70 Mishkin/Eakins ?Financial Markets and Institutions, Fifth Edition

5. According to the efficient market hypothesis

(a) one cannot expect to earn an abnormally high return by purchasing a security.

(b) information in newspapers and in the published reports of financial analysts is already reflected

in market prices.

(c) unexploited profit opportunities abound, thereby explaining why so many people get rich by

trading securities.

(d) all of the above are true.

(e) only (a) and (b) of the above are true.

Answer: E

6. Another way to state the efficient market condition is that in an efficient market,

(a) unexploited profit opportunities will be quickly eliminated.

(b) unexploited profit opportunities will never exist.

(c) arbitrageurs guarantee that unexploited profit opportunities never exist.

(d) both (a) and (c) of the above occur.

Answer: A

7. Another way to state the efficient market hypothesis is that in an efficient market,

(a) unexploited profit opportunities will never exist as market participants, such as arbitrageurs,

ensure that they are instantaneously dissipated.

(b) unexploited profit opportunities will not exist for long, as market participants will act quickly to

eliminate them.

(c) every financial market participant must be well informed about securities.

(d) only (a) and (c) of the above.

Answer: B

8. A situation in which the price of an asset differs from its fundamental market value is called

(a) an unexploited profit opportunity.

(b) a bubble.

(c) a correction.

(d) a mean reversion.

Answer: B

9. A situation in which the price of an asset differs from its fundamental market value

(a) indicates that unexploited profit opportunities exist.

(b) indicates that unexploited profit opportunities do not exist.

(c) need not indicate that unexploited profit opportunities exist.

(d) indicates that the efficient market hypothesis is fundamentally flawed.

Answer: C

10. Studies of mutual fund performance indicate that mutual funds that outperformed the market in one

time period

(a) usually beat the market in the next time period.

(b) usually beat the market in the next two subsequent time periods.

(c) usually beat the market in the next three subsequent time periods.

(d) usually do not beat the market in the next time period.

Chapter 6 Are Financial Markets Efficient? 71 Answer: D

72 Mishkin/Eakins ?Financial Markets and Institutions, Fifth Edition

11. The efficient market hypothesis suggests that allocating your funds in the financial markets on the

advice of a financial analyst

(a) will certainly mean higher returns than if you had made selections by throwing darts at the

financial page.

(b) will always mean lower returns than if you had made selections by throwing darts at the

financial page.

(c) is not likely to prove superior to a strategy of making selections by throwing darts at the

financial page.

(d) is good for the economy.

Answer: C

12. Ivan Boesky, the most successful of the so-called arbs in the 1980s, was able to outperform the

market on a consistent basis, indicating that

(a) securities markets are not efficient.

(b) unexploited profit opportunities were abundant.

(c) investors can outperform the market with inside information.

(d) only (b) and (c) of the above.

Answer: D

13. To say that stock prices follow a “random walk” is to argue that

(a) stock prices rise, then fall.

(b) stock prices rise, then fall in a predictable fashion.

(c) stock prices tend to follow trends.

(d) stock prices are, for all practical purposes, unpredictable.

Answer: D

14. To say that stock prices follow a “random walk” is to argue that

(a) stock prices rise, then fall, then rise again.

(b) stock prices rise, then fall in a predictable fashion.

(c) stock prices tend to follow trends.

(d) stock prices cannot be predicted based on past trends.

Answer: D

15. Rules used to predict movements in stock prices based on past patterns are, according to the efficient

markets theory,

(a) a waste of time.

(b) profitably employed by all financial analysts.

(c) the most efficient rules to employ.

(d) consistent with the random walk hypothesis.

Answer: A

Chapter 6 Are Financial Markets Efficient? 73

16. Tests used to rate the performance of rules developed in technical analysis conclude that

(a) technical analysis outperforms the overall market.

(b) technical analysis far outperforms the overall market, suggesting that stockbrokers provide

valuable services.

(c) technical analysis does not outperform the overall market.

(d) technical analysis does not outperform the overall market, suggesting that stockbrokers do not

provide services of any value.

Answer: C

17. Which of the following types of information will most likely enable the exploitation of a profit

opportunity?

(a) Financial analysts’ published recommendations

(b) Technical analysis

(c) Hot tips from a stockbroker

(d) Insider information

Answer: D

18. Which of the following types of information will most likely enable the exploitation of a profit

opportunity?

(a) Financial analysts’ published recommendations

(b) Technical analysis

(c) Hot tips from a stockbroker

(d) None of the above

Answer: D

19. The advantage of a “buy-and-hold strategy” is tha t

(a) net profits will tend to be higher because there will be fewer brokerage commissions.

(b) losses will eventually be eliminated.

(c) the longer a stock is held, the higher will be its price.

(d) only (b) and (c) of the above are true.

Answer: A

20. The efficient market hypothesis suggests that

(a) investors should not try to outguess the market by constantly buying and selling securities.

(b) investors do better on average if they adopt a “buy and hold” strategy.

(c) buying into a mutual fund is a sensible strategy for a small investor.

(d) all of the above are sensible strategies.

(e) only (a) and (b) of the above are sensible strategies.

Answer: D

21. Sometimes one observes that the price of a company’s stock falls after the announcement of

favorable earnings. This phenomenon is

(a) clearly inconsistent with the efficient market hypothesis.

(b) consistent with the efficient market hypothesis if the earnings were not as high as anticipated.

(c) consistent with the efficient market hypothesis if the earnings were not as low as anticipated.

(d) the result of none of the above.

74 Mishkin/Eakins ?Financial Markets and Institutions, Fifth Edition

Answer: B

Chapter 6 Are Financial Markets Efficient? 75

22. Important implications of the efficient market hypothesis include which of the following?

(a) Future changes in stock prices should, for all practical purposes, be unpredictable.

(b) Stock prices will respond to announcements only when the information in these announcements

is new.

(c) Sometimes a stock price declines when good news is announced.

(d) All of the above.

(e) Only (a) and (b) of the above.

Answer: D

23. Although the verdict is not yet in, the available evidence indicates that, for many purposes, the

efficient market hypothesis is

(a) a good starting point for analyzing expectations.

(b) not a good starting point for analyzing expectations.

(c) too general to be a useful tool for analyzing expectations.

(d) none of the above.

Answer: A

24. The efficient market hypothesis suggests that

(a) investors should purchase no-load mutual funds which have low management fees.

(b) investors can use the advice of technical analysts to outperform the market.

(c) investors let too many unexploited profit opportunities go by if they adopt a “buy and hold”

strategy.

(d) only (a) and (b) of the above are sensible strategies.

Answer: A

25. The efficient market hypothesis applies to

(a) both the stock market and the foreign exchange market.

(b) the stock market but not the foreign exchange market.

(c) the foreign exchange market but not the stock market.

(d) neither the stock market nor the foreign exchange market.

Answer: A

26. According to the January effect, stock prices

(a) experience an abnormal price rise from December to January.

(b) experience an abnormal price decline from December to January.

(c) follow a random walk during January.

(d) set the pattern for the entire year in January.

Answer: A

27. The small-firm effect refers to the observation that small firms’ stocks

(a) follow a random walk but large firms’ stocks do not.

(b) have earned abnormally low returns given their greater risk.

(c) have earned abnormally high returns even taking into account their greater risk.

(d) sell for lower prices than do large firms’ stocks.

Answer: C

76 Mishkin/Eakins ?Financial Markets and Institutions, Fifth Edition

28. The efficient markets hypothesis is weakened by evidence that

(a) stock prices tend to follow a random walk.

(b) stock prices are more volatile than fluctuations in their fundamental values can explain.

(c) technical analysis does not outperform the overall market.

(d) an investment adviser’s past success or failure at picking stocks does not predict his or her

future performance.

Answer: B

29. Mean reversion refers to the observation that

(a) stock prices overact to news announcements.

(b) stocks prices are more volatile than fluctuations in their fundamental value would predict.

(c) stocks with low returns are likely to have high returns in the future.

(d) stocks with low returns are likely to have even lower returns in the future.

Answer: C

30. Which of the following does not weaken the efficient markets hypothesis?

(a) Mean reversion

(b) Success of buy-and-hold strategy

(c) January effect

(d) Excessive volatility

Answer: B

31. An important lesson from the Black Monday Crash of 1987 and the tech crash of 2000 is that

(a) factors other than market fundamentals affect stock prices.

(b) the strong version of the efficient market hypothesis, that stock prices reflect the true

fundamental value of securities, is correct.

(c) market psychology has little if any effect on stock prices.

(d) there is no such thing as a rational bubble.

Answer: A

32. An investor gains from short selling by _________ and then later _________.

(a) buying a stock; selling it at a higher price

(b) selling a stock; buying at back at a lower price

(c) buying a stock; selling it at a lower price

(d) selling a stock; buying it back at a higher price

Answer: B

33. Which of the following is an insight from behavioral finance?

(a) The price of securities fully reflects all available information.

(b) Investor overconfidence leads to high trading volumes.

(c) The optimal forecast of a security’s return equals the security’s equil ibrium return.

(d) Investment advisors cannot consistently beat the market.

Answer: B

Chapter 6 Are Financial Markets Efficient? 77

True/False

1. Evidence that stock prices sometimes fall when a firm announces good news contradicts the efficient

market hypothesis.

Answer: FALSE

2. If the security markets are truly efficient, there is no need to pay for help selecting securities.

Answer: TRUE

3. Evidence that a mutual fund has performed extraordinarily well in the past contradicts the efficient

market hypothesis.

Answer: FALSE

4. In an efficient market, every stock is a good choice.

Answer: TRUE

5. Technical analysts look at historical prices for information to project future prices.

Answer: TRUE

6. The evidence suggests technical analysts are not superior stock pickers.

Answer: TRUE

7. If the markets are efficient, the optimal investment strategy will be to buy and hold so as to

minimize transaction costs.

Answer: TRUE

8. In an efficient market, abnormal returns are not possible even using inside information.

Answer: FALSE

9. “Short selling” refers to the practice of buying a stock and holding it for only a short time before

selling it.

Answer: FALSE

10. Loss aversion means the unhappiness a person feels when he or she suffers a monetary loss exceeds

the happiness the same person experiences from receiving a monetary gain of the same amount.

Answer: TRUE

11. It is probably a good use of a n investor’s time to watch as many shows featuring technical analysts

as possible.

Answer: FALSE

78 Mishkin/Eakins ?Financial Markets and Institutions, Fifth Edition

Essay

1. Why are expectations important in understanding how financial instruments are valued?

2. How is it possible that a firm can announce a record-breaking loss, yet its stock price rise when the

announcement is made?

3. What is the optimal investment strategy according to the efficient market hypothesis? Why?

4. Explain what the market reaction will be in an efficient market if a firm announces a fully

anticipated filing for bankruptcy.

5. How do loss aversion, overconfidence of investors, and social contagion affect market efficiency?

6. What is a rational bubble?

金融市场第四次作业资料

中央电大学习中心选修课 金融市场作业（第四单元） 第七专题《外汇市场》、第八专题《外汇交易及衍生品市场》 一、单项选择题 1．目前，全球主要外汇市场中，日均交易量最大的金融中心城市是（）。 A．纽约B．伦敦C．东京D．新加坡 2．以（）为主体形成的外汇供求，已成为决定市场汇率的主要力量。 A．各国中央银行B．外汇银行C．外汇经纪商D．跨国公司 3．从主观上分析，外汇市场交易风险有（）。 A．外国货币购买力的变化B．本国货币购买力的变化 C．国际收支状况D．外汇投机活动的干扰 4．如果远期汇率高于即期汇率，则远期汇率等于（） A．基本汇率+升水B．基本汇率—贴水 C．即期汇率—贴水D．即期汇率+升水 5．如果远期汇率低于即期汇率，则远期汇率等于（C ）。 A．基本汇率+升水B．基本汇率—贴水 C．即期汇率—贴水D．即期汇率+升水 ６．中央银行参与外汇市场的主要目的是（）。 Ａ．外汇储备套期保值Ｂ．利用外汇储备获利 Ｃ．干预市场，稳定汇率Ｄ．阻止国际短期“热钱”流入 ７．以下哪一项属于外汇（）。 Ａ．某中国居民放在家中的美元现钞Ｂ．国内某出口商持有的阿根廷比索存款账户 Ｃ．国内居民的人民币存款Ｄ．国内某公司持有的美元国库券 ８．如果某个外汇市场采用了间接标价法表示汇率，那么汇率越高说明（）。 Ａ．外币升值Ｂ．外币贬值Ｃ．没有变化Ｄ．不一定 ９．已知某交易日人民币兑美元的基础汇率为100美元＝814．00元人民币，欧元兑美元的汇率为100欧元＝107．40美元，那么当天的人民币与欧元之间的套算汇率就等于（）。 Ａ．100欧元＝８７４．２４元Ｂ．100欧元＝７５７．９１元

Ｃ．100欧元＝８４７．２４元Ｄ．100欧元＝８７６．２４元 10．在开放经济中，如果一国利率相对于他国较低，则会（）。 Ａ．刺激国外资金流入Ｂ．本币需求增加，供给减少 Ｃ．汇率升高Ｄ．本币相对于外币贬值 11．外汇期权与期货交易的最大不同之处在于（）。 Ａ．外汇期货交易中，买卖双方拥有对等的权利和义务；而外汇期权交易中双方权利义务不对等Ｂ．外汇期货合同是标准化的合同，而外汇期权合同则是非标准化的 Ｃ．外汇期货交易有固定的交易场所，而外汇期权交易则没有 Ｄ．外汇期货交易一般不存在违约风险，而外汇期权交易则存在较大违约风险 12．只有在合约到期日才能执行、不能提前交割的期权是（）。 Ａ．看涨期权Ｂ．美式期权Ｃ．欧式期权Ｄ．看跌期权 13．以下关于间接套汇正确的说法是（）。 Ａ．涉及两个或两个以上的外汇市场 Ｂ．至少涉及两个币种 Ｃ．收益必须大于套汇成本，如通讯费用、经纪人佣金等，否则就会亏损 Ｄ．使国际间的短期利率趋于一致 14．金融互换市场中，下列哪一个交易主体进入市场的目的是为了进行投机性交易（）。A．直接用户B．互换经纪商C．互换交易商D．互换代理商 15．根据国际清算银行（BIS）的统计，2005年末，在全球交易所衍生产品交易市场上，（）是交易最活跃的衍生工具。 A．利率期货B．股指期权C．外汇期权D．利率期权 16．利率期货的基础资产为价格随市场利率波动的（）。 A．股票产品B．债券产品C．基金产品D．外汇产品 17．（）最大的特点是期权的收益水平是预先确定的，但收益可能性则不确定。 A．亚式期权B．回溯期权C．挡板期权D．数字期权 18．以下会增加看涨期权价格的因素是（）。 Ａ．期权有效期缩短Ｂ．利率上升 Ｃ．基础金融工具价格波动性下降Ｄ．基础金融工具产生现金收益 19．使交易者面临潜在损失无穷大的金融期权的交易策略是（）。 Ａ．买进看涨期权Ｂ．卖出看涨期权

金融市场和金融机构

第二章金融市场和金融机构 （一） 第二章金融市场和金融机构 ?1 金融体系的定义 ?2 资金流动 ?3 金融制度的功能 ?4 金融创新 ?5 金融市场 ?6 金融市场中的比率 第一部分 金融体系介绍 金融系统（金融体系） ?被用于订立金融合约和交换资产及风险的金融市场和金融机构（中介）的集合 ?金融机构担当投资者的代理人和帮助资本（金）的流动等 ?金融市场是所有金融交易的核心 ?居民户、企业和政府实施其金融决策离不开金融市场和金融机构。 第一节 金融市场 一、金融市场概述 （一）金融市场的概念和分类 1.金融市场： 金融市场是买卖金融工具以融通资金的场所或机制。 ?之所以把金融市场视作为一种场所，是因为只有这样才与市场的一般含义相吻合； ?之所以同时又把金融市场视作为一种机制，是因为金融市场上的融资活动既可以在固定场所进行，也可以不在固定场所进行，如果不在固定场所进行的融资活动就可以理解为一种融资机制。 ?按有无固定场所进行分，金融产品市场可分为两类： ?交易所交易市场（Exchange traded） ?场外市场（Over-the-counter ，OTC) 交易所交易市场 ?芝加哥期货交易所（CBOT） ?纽约证券交易所（NYSE) ?芝加哥期权交易所（CBOE） ?上海证券交易所 ?深圳证券交易所 ?上海黄金交易所 ?上海期货交易所（金属） ?大连商品交易所（农产品） ?郑州商品交易所（农产品） ?中国金融期货交易所（股指期货） ?……

?交易所的主要职责： ?定义交易合约 ?组织交易 ?使交易双方的利益同时得到保护 ?交易规则：由组织化的证券交易所制定，对交易程序进行标准化。 ?传统上，交易双方在交易所内相见并通过特定手语达成交易，而现在交易更多的是采用电子交易系统。 场外市场 ?由电话和计算机将金融机构和大型企业的交易员以及基金经理联系在一起的网络系统。银行等金融机构通常扮演做市商的角色。 ?场外交易的最大优点是合约内容不受交易所限制。 ?场外市场用于交易的电话通常都是被录音的。 ?场外市场与交易所交易市场的一个重要区别在于信用风险的大小。 ?场外市场交易额远远大于交易所交易市场。 ?最简单的交易，例如： ?买入100股IMB股票 ?卖出100万英镑 ?买入1000盎司黄金 ?卖出价值100万美元的通用汽车公司债券 ?第一个交易往往发生在交易所内，而其它三个交易更可能是场外交易，但四种均属现货交易。（二）分类 （三）金融市场的构成要素 1.金融市场主体：即金融市场的参与者 2.金融市场客体：金融市场的交易载体——货币资金。 3.金融市场交易工具：金融市场的交易对象指的是金融工具，也称信用工具，它是证明金融交易金额、期限、价格的书面文件，它对交易双方的权利和义务具有法律约束意义。 4.金融市场价格：在金融市场上，交易对象的价格就是用货币资金表示的价格。 二、货币市场和资本市场 ?按到期期限划分 ?货币市场，期限短于一年，强调流动性 ?短期债务市场：比如美国的短期国库券，企业的商业票据等。 ?资本市场，期限长于一年，强调收益性 ?包括长期债务市场和权益性证券市场。 金融资产 三种基本的金融资产类型：债务、股权和衍生工具 ?债券(固定收益证券，Fixed Income Securities)：承诺未来支付固定数量现金的借款合约。 ?公司债券、政府债券、住宅性和商业性按揭贷款、消费贷款。 股票（普通股）：公司发行的所有权凭证。 ?每份股票代表对企业所有权的等同份额； ?通常还代表对公司治理事务的投票权； ?股票代表对一家公司资产和收益的剩余索取权（Residual Claim）； ?普通股同时具备有限责任的特征，即如果资不抵债，债权人无法向股票所有者索取更多 资金来弥补缺口，债权人的索取权被限定在该企业资产的范围之内。

金融市场与机构课后习题答案.doc

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离岸金融市场研究的文献评述 摘要：随着金融自由化和金融制度创新的进一步发展，离岸金融市场在国际金融体系中占据越来越重要的地位。本文先从国外离岸金融研究的发展入手，从对离岸金融市场的定义到实践中对离岸金融市场建立的建议，阐述了国外学者的研究历程。进而转向国内学者对离岸金融市场的认识过程，并在文末指出了国内外相关研究中目前存在的问题。 关键词：离岸金融市场；研究；评述 离岸金融市场是金融自由化和金融制度创新的产物，从上世纪中期至今，迅速发展成为现代国际金融体系的重要组成部分，建立离岸金融市场的浪潮更是方兴未艾。尤其是亚洲，更是掀起了一股离岸金融的浪潮，新加坡、日本、香港等亚洲国家和地区相继建立其区域性离岸金融中心，为其带来了巨大的收益和便利，甚至带动该国（地区）经济的发展与飞跃。因此，发展我国离岸金融市场成为金融体系改革的重要环节。 一、国外离岸金融研究情况综述 离岸金融理论研究伴随着离岸金融市场的产生而产生，关于离岸金融市场的定义，在国外有不同的见解。Grabbe （1997）从离岸金融市场运行方式上界定指出：“离岸金融市场代表着一种针对管理规则的套利行为，离岸银行是一个金融管理组合体：它所经营的货币在货币发行国之外运动着，因此它所经营的货币是一个国家的（一种法律环境），而它所适用的银行条例和竞争效率却是另一个国家的。”“为促进国际银行业务而专门设定的小型区域”、“可以财政中性的方式进行国际金融业务的地

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? C. 16.67 ? D. 17.33 纠错 得分：0 知识点：9.2.2 固定增长模型 收起解析 答案B 解析 3. (3分)某零息债券面值100元，两年后到期，当前市价为95元，两年期市场利率为15%，则该债券的久期为（）。 ? A. 1 ? B. 2 ? C. 5 ? D. 3 纠错 得分：0 知识点：8.4.2 久期 收起解析 答案B 解析本题考查了久期的计算。 4. (3分)下列期权中，属于实值期权的是（）。 ? A. 行权价为300，标的资产市场价格为350 的看涨期权

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