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椰子鸡 · 2024年05月07日

半强和强有效 的界限在哪儿，似乎没啥考点

  1. CFA I
  2. Equity

NO.PZ2023040301000102

问题如下：

After the public announcement of the merger of two firms, an investor makes abnormal returns by going long on the target firm and short on the acquiring firm. This most likely violates which form of market efficiency?

选项：

A.

Semi-strong form only

B.

Semi-strong and strong forms

C.

Weak and semi-strong forms

解释：

In a semi-strong efficient market, prices adjust quickly and accurately to new information. In this case, prices would quickly adjust to the merger announcement, and if the market is a semi-strong efficient market, investors acting after the merger announcement would not be able to earn abnormal returns. Therefore, the market is not semi-strong-form efficient. A market that is not semi-strong-form efficient is also not strong-form efficient. Thus, violating the semi-strong-form efficiency also implies violating the strong-form efficiency. However, the market could still be weak-form efficient because past prices are not being used to make abnormal profits. Thus, we cannot say that the weak-form market efficiency has been violated

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1 个答案

王园圆_品职助教 · 2024年05月08日

如果依靠内幕消息或者非公开信息可以持续获利，那就说明这个市场是半强无效的，而在强有效市场上，则依靠内幕消息或者非公开信息（或任何其他下信息）都无法获得超额收益

半强有效和强有效市场的区别就这些，但是由于监管并不允许根据内幕消息做交易，所以半强有效市场下其实投资者已经无法获得超额收益了。

确实针对内幕消息出的题题库非常少，同学了解两者区别即可

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NO.PZ2023040301000102问题如下 After the public announcement of the merger of two firms, investor makes abnormreturns going long on the target firm anshort on the acquiring firm. This most likely violates whiform of market efficiency? A.Semi-strong form onlyB.Semi-strong anstrong formsC.Weansemi-strong forms In a semi-strong efficient market, prices aust quickly anaccurately to new information. In this case, prices woulquickly aust to the merger announcement, anif the market is a semi-strong efficient market, investors acting after the merger announcement woulnot able to earn abnormreturns. Therefore, the market is not semi-strong-form efficient. A market this not semi-strong-form efficient is also not strong-form efficient. Thus, violating the semi-strong-form efficienalso implies violating the strong-form efficiency. However, the market coulstill weak-form efficient because past prices are not being useto make abnormprofits. Thus, we cannot sththe weak-form market efficienhbeen violatelong on target form anshort on acquiring firm啥意思啊

2024-04-27 22:32 2 · 回答

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