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"Equity Investments":Market Efficiency

来源: 正保会计网校 编辑:小鞠橘桔 2020/10/16 09:32:06 字体:

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Questions 1:

The following table shows some data on a company before and after unexpected news is announced to the public:

Equity Investments:Market Efficiency

Based on the data in the table, the market for this company’s shares is bestdescribed as:

A、 relatively inefficient.

B、 semi-strong efficient.

C、 overvalued.

Questions 2:

Which of the following is most likely a cross-sectional anomaly in financial markets?

A 、Closed-end fund discount

B 、Overreaction effect

C、 Value effect

View answer resolution
【Answer to question 1】A

【analysis】

A is correct. In an inefficient market, (1) the market value of a stock adjusts slowly to an unexpected news, and (2) there are probably discrepancies between market value and intrinsic value. Given that after the unexpected news, the estimated intrinsic value increases to $33 (from $30) but the market value increases to only $31 (from $30), it is possible to conclude that the market for this company’s shares is relatively inefficient. 

B is incorrect. In a semi-strong-form efficient market, prices reflect all publicly known and available information. Given that after the unexpected news is announced to the public the stock price did not fully converge to the intrinsic value ($31 vs. $33), it means that the price did not fully reflect all publicly available information. Therefore, the market for this company’s shares is not semi-strong-form efficient.

 C is incorrect. The company’s shares are undervalued, not overvalued, because after the announcement the market value per share is lower than the estimated intrinsic value per share ($31 < $33).

【Answer to question 2】C

【analysis】

C is correct. The value effect—that is, stocks with below-average price-to-earnings and market-to-book ratios and above-average dividend yields have consistently outperformed growth stocks over long periods—is a cross-sectional anomaly. 

A is incorrect. A closed-end fund discount is an anomaly where a closed-end fund trades at a discount from its net asset value. It is not a cross-sectional anomaly. 

B is incorrect. Overreaction effect is a time-series anomaly, not a cross-sectional anomaly.

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