NO.PZ2015122801000019
问题如下：
What will happen in an informationally efficient capital market?
选项：
A.Investors react to all information releases quickly.
B.The price of security reflect all available information fully, quickly and rationally.
C.Active managers can earn positive risk-adjusted returns.
解释：
B is correct.
The price of security fully, quickly and rationally reflect all available information in an informationally efficient capital markets. Because the expected information releases is well reflected in securities' prices, investors can only react to unexpected information releases. If the market is fully efficient, active investment strategies cannot earn positive risk-adjusted returns, and investors should therefore use a passive strategy.
B是正确的。
本题考察的是信息充分有效市场的定义。B就是其定义，所以B正确。而A，在一个证券价格已经充分反映可得信息的市场（预期的信息已经被反应在价格上，价值此时和价格一致），投资者只会对所有超出预期的信息的释放迅速做出反应（超预期信息会时市场价格和价值短暂的偏离，投资者必须迅速反应做出买卖的行为，从而获得超额的α）。
一个信息充分有效的市场可以认为类似于半强有效或强有效市场，所以主动投资已经不能带来超额回报了，C错误。
老师，A选项，对所有信息都能反应，那不是更有效吗？
B说只对可得的信息去反应，那不可得的信息就不反映了，这个也不是有效吧？
