NO.PZ2015122802000092
问题如下：
If a researcher conducting empirical tests of a trading strategy using time series of returns finds statistically significant abnormal returns, then the researcher has most likely found:
选项：
A.a market anomaly.
B.evidence of market inefficiency.
C.a strategy to produce future abnormal returns.
解释：
A is correct.
Finding significant abnormal returns does not necessarily indicate that markets are inefficient or that abnormal returns can be realized by applying the strategy to future time periods. Abnormal returns are considered market anomalies because they may be the result of the model used to estimate the expected returns or may be the result of underestimating transaction costs or other expenses associated with implementing the strategy, rather than because of market inefficiency.
考点：Tests, Implications And Conclusions Of EMH
这道题就是问你实证研究表明一些交易策略在统计上是显著的可以获得超额回报，这代表我们发现了什么。
首先市场异象并不能推翻有效市场假说（B错）。我们看到的这些市场异象（通过一些规律获得超额回报），通常都是由于统计研究方法的使用所导致的（低估交易费用或其他成本），而并不代表真的能获得超额回报（C错）。
因此本题描述的情况就是一种市场异象，因此选A。
什么情况下能推翻市场有效假说？
