2025年CFA二級(jí)市場(chǎng)有效性習(xí)題考試時(shí)間：______分鐘總分：______分姓名：______試卷內(nèi)容1.AccordingtotheEfficientMarketHypothesis(EMH),whichofthefollowingstatementsismostaccurateregardingtheweakformofthehypothesis?a)Stockpricesreflectallpasttradinginformation,makingtechnicalanalysisineffective.b)Stockpricesreflectallpubliclyavailableinformation,includingpastpricesandtradingvolumes.c)Stockpricesonlyreflectfundamentalcompanyinformation,makingmarkettimingimpossible.d)Marketefficiencyissolelydeterminedbythespeedofinformationdissemination.2.Whichofthefollowingmethodsismostcommonlyusedtotestthesemi-strongformoftheEfficientMarketHypothesis?a)Eventstudyanalysis.b)Varianceratiotest.c)Timeseriesanalysisofstockreturns.d)Cross-sectionalanalysisofstockreturnsbasedonaccountingdata.3.Thesemi-strongformoftheEfficientMarketHypothesisimpliesthat:a)Allmarketparticipantshavethesameinformationatthesametime.b)Allpubliclyavailableinformationisalreadyreflectedinstockprices.c)Itisimpossibletoconsistentlyachievereturnsabovethemarketaverage.d)Technicalanalysiscanconsistentlygenerateabnormalprofits.4.Amarketisconsideredtobesemi-strongformefficientif:a)Allpastpriceinformationisinstantlyreflectedincurrentprices.b)Allpubliclyavailableinformation,includingannouncementsandnews,isquicklyincorporatedintoprices.c)Onlyinsiderinformationcanmovethemarket.d)Pricesadjustslowlytonewinformation,creatingopportunitiesforarbitrage.5.Whichofthefollowingisanexampleofamarketanomalythatappearstocontradictthesemi-strongformoftheEfficientMarketHypothesis?a)Thesizeeffect,wheresmallercompaniestendtooutperformlargercompanies.b)Themomentumeffect,wherestocksthathaveperformedwellrecentlycontinuetoperformwell.c)TheJanuaryeffect,wherestockstendtoperformwellinthemonthofJanuary.d)Alloftheabove.6.ThestrongformoftheEfficientMarketHypothesissuggeststhat:a)Allpubliclyavailableinformationisreflectedinstockprices.b)Allinformation,bothpublicandprivate(insiderinformation),isreflectedinstockprices.c)Technicalanalysiscanbeprofitableifappliedcorrectly.d)Fundamentalanalysiscanidentifyundervaluedorovervaluedstocks.7.Whichofthefollowingstatementsbestdescribestherelationshipbetweenmarketefficiencyandinformationtransparency?a)Marketefficiencyishighestinmarketswithlowinformationtransparency.b)Marketefficiencyandinformationtransparencyareunrelated.c)Marketefficiencygenerallyincreaseswithhigherlevelsofinformationtransparency.d)Marketefficiencyisprimarilydeterminedbythenumberofparticipantsinthemarket.8.Whichofthefollowingisapotentiallimitationoftheeventstudymethodusedtotestmarketefficiency?a)Itisdifficulttoisolatetheimpactofaspecificeventfromothermarketfluctuations.b)Itisexpensivetoimplementandrequiressophisticatedstatisticalsoftware.c)Itcannotprovideinsightsintothespeedofinformationdissemination.d)Itonlyconsidersabnormalreturnsandignoresactualinvestmentperformance.9.AportfoliomanagerclaimstohavedevelopedastrategythatconsistentlygeneratespositiveabnormalreturnsbyexploitingtheJanuaryeffect.Accordingtothesemi-strongformoftheEfficientMarketHypothesis,thisclaimwouldbeconsidered:a)Plausible,asmarketinefficienciescanexistforashortperiod.b)Plausible,asinsiderinformationcanbeusedtoadvantage.c)Unplausible,asallpubliclyavailableinformation,includingtheJanuaryeffect,shouldbereflectedinprices.d)Unplausible,astechnicalanalysiscannotgenerateconsistentabnormalprofits.10.Theexistenceofmarketanomalies,suchasthemomentumeffect,suggeststhat:a)Themarketisnotweakformefficient.b)Themarketisnotsemi-strongformefficient.c)Themarketisnotstrongformefficient.d)Marketefficiencyisarelativeconceptandcanvaryovertime.11.Whichofthefollowingstatementsismostconsistentwiththeconceptofthe"zeroinvestmentportfolio"usedineventstudyanalysis?a)Aportfolioconstructedwithalargeamountofborrowedmoney.b)Aportfolioconstructedwithassetsthathaveahighcorrelationwiththemarket.c)Aportfolioconstructedwithnoinitialinvestment,butpotentiallylargegains.d)Aportfolioconstructedwithamixofassetsandliabilities,suchthatthenetinvestmentiszero.12.ThevarianceratiotestisusedtotesttheEfficientMarketHypothesisbycomparing:a)Thevarianceofactualstockreturnswiththevarianceofrandomreturns.b)Thevarianceofstockreturnsoverdifferenttimeperiods.c)Thevarianceofportfolioreturnswiththevarianceofindividualassetreturns.d)Thevarianceofreturnsfordifferentmarketparticipants.13.Ifamarketisfoundtobeefficient,whichofthefollowingstatementsismostlikelytobetrue?a)Itisimpossibleforanyinvestortoachievereturnsabovethemarketaverage.b)Technicalanalysisandfundamentalanalysisarebothuselessinmakinginvestmentdecisions.c)Allinvestorshavethesamelevelofinformationandskill.d)Marketpricesreflectallavailableinformationandarealwaysaccurate.14.WhichofthefollowingisakeyassumptionoftheEfficientMarketHypothesis?a)Investorsarerisk-averseandpreferhigherreturnswithlowerrisk.b)Allinvestorshaveaccesstothesameinformationatthesametime.c)Marketpricesaredrivenprimarilybyinvestoremotionsandbiases.d)Transactioncostsarehighandpreventmarketefficiency.15.Theconceptof"noisetraders"inthecontextofmarketefficiencysuggeststhat:a)Somemarketparticipantsmakeirrationaldecisionsbasedonemotions.b)Marketpricesareinfluencedbyrandomfluctuations.c)Therearealwaysinefficienciesinthemarketthatcanbeexploited.d)Allmarketparticipantsareinfluencedbythesameexternalfactors.16.Whichofthefollowingstatementsismostlikelytobetrueinanefficientmarket?a)Stocksthathaveperformedpoorlyinthepastarelikelytoperformwellinthefuture.b)Stocksthatarecurrentlyundervaluedbasedonfundamentalanalysiswillalwaysprovidehighreturns.c)Marketpriceswilladjustquicklyandaccuratelytonewinformation.d)Technicalanalysiscanconsistentlyidentifyprofitabletradingopportunities.17.BehavioralfinancechallengestheEfficientMarketHypothesisbysuggestingthat:a)Marketefficiencyisprimarilydeterminedbythenumberofparticipants.b)Investorpsychologyandbehaviorcansignificantlyimpactmarketprices.c)Allmarketanomaliesaretemporaryandwilleventuallydisappear.d)Fundamentalanalysisisalwaysmoreeffectivethantechnicalanalysis.18.Whichofthefollowingisapotentialconsequenceofmarketinefficiency?a)Higherexpectedreturnsforallinvestors.b)Lowertransactioncostsformarketparticipants.c)Increasedopportunitiesforinvestorstoachievereturnsabovethemarketaverage.d)Reducedvolatilityinmarketprices.19.Amarketwherepricesadjustslowlytonewinformation,allowingsomeinvestorstoprofitfromthisdelay,isconsideredtobe:a)Strongformefficient.b)Semi-strongformefficient.c)Weakformefficient.d)Inefficient.20.WhichofthefollowingactionsbymarketparticipantswouldbemostconsistentwiththestrongformoftheEfficientMarketHypothesis?a)Analystsconductingfundamentalresearchtoidentifyundervaluedstocks.b)Investorsusingtechnicalanalysistopredictfuturepricemovements.c)Insidertradersusingnon-publicinformationtomaketrades.d)Marketparticipantsreactingquicklytonewpubliclyavailableinformation.試卷答案1.a2.d3.b4.b5.d6.b7.c8.a9.c10.b11.d12.a13.a14.b15.a16.c17.b18.c19.d20.c每道題解析思路1.解析思路：弱式有效市場(chǎng)假說認(rèn)為，當(dāng)前股票價(jià)格已反映所有過去的價(jià)格和交易量信息。因此，基于歷史價(jià)格進(jìn)行技術(shù)分析無法持續(xù)獲得超額收益。選項(xiàng)a正確描述了這一點(diǎn)。選項(xiàng)b是半強(qiáng)式有效市場(chǎng)的特征。選項(xiàng)c是強(qiáng)式有效市場(chǎng)的特征。選項(xiàng)d與效率程度無關(guān)。2.解析思路：檢驗(yàn)半強(qiáng)式有效市場(chǎng)假說通常使用橫截面分析方法，比較公開可用的會(huì)計(jì)數(shù)據(jù)或其他信息與股票回報(bào)率之間的關(guān)系。選項(xiàng)d（基于會(huì)計(jì)數(shù)據(jù)的股票回報(bào)率橫截面分析）符合此方法。事件研究法（a）主要用于檢驗(yàn)強(qiáng)式有效假說。方差比檢驗(yàn)（b）主要用于檢驗(yàn)弱式有效假說。時(shí)間序列分析（c）主要應(yīng)用于弱式有效假說檢驗(yàn)。3.解析思路：半強(qiáng)式有效市場(chǎng)假說認(rèn)為，所有公開信息（包括新聞、公告等）都已迅速反映在股價(jià)中，因此基于公開信息的基本面分析或技術(shù)分析都無法持續(xù)獲得超額收益。選項(xiàng)b準(zhǔn)確描述了這一點(diǎn)。選項(xiàng)a是弱式有效市場(chǎng)的特征。選項(xiàng)c是強(qiáng)式有效市場(chǎng)的特征。選項(xiàng)d與弱式有效市場(chǎng)假說的含義相反。4.解析思路：半強(qiáng)式有效市場(chǎng)假設(shè)價(jià)格會(huì)迅速反映所有公開信息。選項(xiàng)b準(zhǔn)確描述了這一特征。選項(xiàng)a是弱式有效市場(chǎng)的特征。選項(xiàng)c是強(qiáng)式有效市場(chǎng)的特征。選項(xiàng)d描述的是市場(chǎng)無效的情況。5.解析思路：所列的三個(gè)效應(yīng)（大小效應(yīng)、動(dòng)量效應(yīng)、一月效應(yīng)）都是與公開信息相關(guān)的、且難以用傳統(tǒng)有效市場(chǎng)假說解釋的市場(chǎng)現(xiàn)象，因此都可作為市場(chǎng)無效性的例證。選項(xiàng)d涵蓋了所有三者。6.解析思路：強(qiáng)式有效市場(chǎng)假說認(rèn)為，所有信息，包括公開信息和內(nèi)部信息，都已完全反映在股價(jià)中。因此，即使是內(nèi)部信息也無法幫助獲得超額收益。選項(xiàng)b準(zhǔn)確描述了這一點(diǎn)。選項(xiàng)a是半強(qiáng)式有效市場(chǎng)的特征。選項(xiàng)c和d與強(qiáng)式有效假說相悖。7.解析思路：信息越透明，市場(chǎng)參與者獲得的信息越充分、越及時(shí)，越容易將信息融入價(jià)格，從而市場(chǎng)效率越高。選項(xiàng)c描述了這一正向關(guān)系。8.解析思路：事件研究法的一個(gè)主要難點(diǎn)是存在“事件泄露”（EventLeakage），即新信息可能在正式公布前就已經(jīng)被部分市場(chǎng)參與者知曉并影響價(jià)格，導(dǎo)致難以準(zhǔn)確分離事件影響。選項(xiàng)a指出了這一點(diǎn)。雖然事件研究法可能昂貴（b）且需要復(fù)雜軟件（c），但這并非其主要方法論局限。它關(guān)注的是異?；貓?bào)（d），而非實(shí)際回報(bào)。9.解析思路：半強(qiáng)式有效市場(chǎng)假說認(rèn)為，像“一月效應(yīng)”這樣的公開信息已經(jīng)反映在當(dāng)前股價(jià)中。因此，聲稱能持續(xù)利用該效應(yīng)獲得超額收益的策略是不可持續(xù)的。選項(xiàng)c是正確的結(jié)論。市場(chǎng)可能暫時(shí)無效（a），但策略持續(xù)性存疑。內(nèi)幕信息（b）違反了假說前提。技術(shù)分析（d）在半強(qiáng)式有效下無效。10.解析思路：市場(chǎng)存在動(dòng)量效應(yīng)等異?，F(xiàn)象，表明市場(chǎng)并未達(dá)到半強(qiáng)式有效，因?yàn)榘霃?qiáng)式有效假說認(rèn)為所有公開信息都應(yīng)立即反映在價(jià)格中，從而消除這類基于歷史價(jià)格模式的盈利機(jī)會(huì)。選項(xiàng)b是正確結(jié)論。動(dòng)量效應(yīng)的存在并不直接否定弱式有效（a），但否定半強(qiáng)式有效。11.解析思路：零投資組合在事件研究分析中通常指一個(gè)假想的投資組合，其初始投資額為零（例如，通過賣空被排除的股票組合，并將所得資金投資于市場(chǎng)指數(shù)），用于衡量事件對(duì)特定股票相對(duì)于市場(chǎng)指數(shù)的影響。選項(xiàng)d描述了其概念特征。12.解析思路：方差比檢驗(yàn)（VarianceRatioTest）通過比較不同時(shí)間