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Josy Pan · 2020年11月04日

问一道题:NO.PZ2018091702000002

问题如下:

Judy, a financial analyst, met three important clients and talked about their investment strategies separately this morning.

Client 1: I prefer to use long option during the investment, because in my experience long option position gives me excess returns with small risk. I am sure it has low probability of loss and will invest more long option products in the future.

Client 2: I have 25 years of investment experiences. I know that market prices can be affected by emotions of investors, therefore I focus on the buy and sell signals. I trust those analysts who also take price-volume analysis into consideration.

Client 3: I have my own investment strategy, which proves to outperform most investors' strategies: I sell a stock when its price goes up by 15% or when its price goes down by 10%.

Which client least likely support the weak form of efficient market hypothesis?

选项:

A.

Client 1.

B.

Client 2.

C.

Client 3.

解释:

B is correct.

考点:EMH理论 - Weak-Form EMH的推翻

解析:如果weak form of efficient market hypothesis成立,技术分析是无法获得超额收益的。本题题干指出,要找到哪位客户不支持弱式有效市场假说,也就是这个客户认为技术分析是可以获得超额收益的。 Client 2 关注buy and sell signals和price-volume analysis,这些都是技术分析常用的方法。技术分析所研究的anomaly确实是来源于投资者的非理性决策,非理性的决策比如说追涨杀跌,追涨会使价格持续上涨,杀跌会让价格持续下跌,因此技术分析师可以通过价格趋势找到市场异常。所以选B。

请问client 3的说法不属于technical analysis中的trading range break吗?那么client 3的说法属于什么范畴呢?

1 个答案
已采纳答案

王琛_品职助教 · 2020年11月05日

- client 3 的说法不属于 Trading Range Break,属于 loss aversion
- client 3 的说法,重点在卖出股票时,对应的盈亏区间不同
- Trading Range Break,在原版书中的定义是 "A buy signal is generated when the price penetrates the resistance level, and a sell signal is generated when the price penetrates the support level."
- client 3 的说法,和区间交易策略差得很多:首先区间的上下线,并不是定死的 15% 和 -10%;其次,如果股价超过了 15%,所谓超过了阻力位,也应该是买入,而不是卖出
- 行为金融学的题目,不会考一个技术分析策略的细节操作区别,这里 client 3 说法的分析重点和方向还是前面说的,卖出股票的盈亏区间不同

大鱼 · 2020年12月01日

第三个客户如果是loss averaion 的话应该在下跌时更愿意持有才对吧?本题说的是下跌10%就抛了,感觉不是很符合?