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• Abnormal return Part of return that is not due to systematicinfluences, e.g., marketwide price movements.
• Effizienzmarkthypothese Sie besagt, dass die Finanzmärkte in dem Sinne effizient sind, dass vorhandene Informationen bereits eingepreist sind und somit niemand in der Lage zu dauerhaft überdurchschnittlichen Gewinnen ist.
• Which (if any) of these statements are true? Stock prices appear to behave as though QUIZ successive values (a) are random numbers, (b) follow regular cycles, (c) differ by a random number.  (c) differ by a randomnumber.
• Supply the missing words: “There are three forms of the efficient-market hypothesis. Tests of randomness in stock returns provide evidence for the __________ form of the hypothesis. Tests of stock price reaction to well-publicized news provide evi Weak, semistrong, strong, strong, weak.
• True or false? The efficient-market hypothesis assumes that a. There are no taxes. b. There is perfect foresight. c. Successive price changes are independent. d. Investors are irrational. e. There are no transaction costs. f. Forecasts are unbi (a) False; (b) false; (c) true; (d) false; (e) false; (f) true.
• The stock of United Boot is priced at $400 and offers a dividend yield of 2 percent. The company has a 2-for-1 stock split. a. Other things equal, what would you expect to happen to the stock price? b. In practice would you expect the stock pric (a) Decline to $200; (b) less; (c) A slight abnormalfall (the split is likely to have led investors to expectan above-average rise in dividends).
• c .5. (a) False; (b) true; (c) false; (d) true; (e) false; (f) true(a small change in price in the absence of new informationcauses a large increase in demand).
• 6. Analysis of 60 monthly rates of return on United Futon common stock indicates a beta of 1.45 and an alpha of .2 percent per month. Amonth later, the market is up by 5 percent, and United Futon is up by 6 percent. What is Futon’s abnormal rate o .
• 7. True or false? a. Analysis by security analysts and investors helps keep markets efficient. b. Psychologists have found that, once people have suffered a loss, they are more relaxed about the possibility of incurring further losses. c. Psychol .
• 8. Geothermal Corporation has just received good news: its earnings increased by 20 percent from last year’s value. Most investors are anticipating an increase of 25 percent. Will Geothermal’s stock price increase or decrease when the announcement .
• 9. Here again are the six lessons of market efficiency. For each lesson give an example showing the lesson’s relevance to financial managers. a. Markets have no memory. b. Trust market prices. c. Read the entrails. d. There are no financial illu .
• d. “Despite all the limitations, the best guide to a company’s value is its writtendown book value. It is much more stable than market value, which depends on temporary fashions.” .
• 2. Respond to the following comments: a. “The random-walk theory, with its implication that investing in stocks is like playing roulette, is a powerful indictment of our capital markets.” b. “If everyone believes you can make money by charting sto .
• 3. Which of the following observations appear to indicate market inefficiency? Explain whether the observation appears to contradict the weak, semistrong, or strong form of the efficient-market hypothesis. a. Tax-exempt municipal bonds offer lower .
• 4. Look again at Figure 13.9. a. Is the steady rise in the stock price before the split evidence of market inefficiency? b. How do you think those stocks performed that did not increase their dividends by an above-average amount? .
• 5. Stock splits are important because they convey information. Can you suggest some other financial decisions that do so? .
• Here are alphas and betas for Intel and Conagra for the 60 months ending October 2001. Alpha is expressed as a percent per month. Alpha Beta Intel .77 1.61 Conagra .17 .47 Explain how these estimates would be used to calculate an abnormal return .
• 7. It is sometimes suggested that stocks with low price–earnings ratios tend to be underpriced. Describe a possible test of this view. Be as precise as possible. .
• 8. “If the efficient-market hypothesis is true, then it makes no difference what securities a company issues. All are fairly priced.” Does this follow? .
• 9. “If the efficient-market hypothesis is true, the pension fund manager might as well select a portfolio with a pin.” Explain why this is not so. .
• 10. The bottom graph in Figure 13.1 shows the actual performance of the Standard and Poor’s 500 Index for a five-year period. Two financial managers, Alpha and Beta, are contemplating this chart. Each manager’s company needs to issue new shares of .
• 10. The bottom graph in Figure 13.1 shows the actual performance of the Standard and Poor’s 500 Index for a five-year period. Two financial managers, Alpha and Beta, are contemplating this chart. Each manager’s company needs to issue new shares of .
• 11. What does the efficient-market hypothesis have to say about these two statements? a. “I notice that short-term interest rates are about 1 percent below long-term rates. We should borrow short-term.” b. “I notice that interest rates in Japan ar .
• 12. We suggested that there are three possible interpretations of the small-firm effect: a required return for some unidentified risk factor, a coincidence, or market inefficiency. Write three brief memos, arguing each point of view. .
• 13. “It may be true that in an efficient market there should be no patterns in stock prices, but, if everyone believes that they do exist, then this belief will be self-fulfilling.” Discuss. .
• 14. Column (a) in Table 13.1 shows the monthly return on the British FTSE 100 index from August 1999 through July 2001. Columns (b) and (c) show the returns on the stocks of two firms. Both announced dividend increases during this period—Executive .
• 15. On May 15, 1997, the government of Kuwait offered to sell 170 million BP shares, worth about $2 billion. Goldman Sachs was contacted after the stock market closed in London and given one hour to decide whether to bid on the stock. They decided .
• 1. Bond dealers buy and sell bonds at very low spreads. In other words, they are willing to sell at a price only slightly higher than the price at which they buy. Used-car dealers buy and sell cars at very wide spreads. What has this got to do with .
• 2. “An analysis of the behavior of exchange rates and bond prices around the time of international assistance for countries in balance of payments difficulties suggests that on average prices decline sharply for a number of months before the announ .
• 3. Use either the Market Insight database (www.mhhe.com/edumarketinsight) or (www.finance.yahoo.com) to download daily prices for 5 U.S. stocks for a recent 12-month period. For each stock construct a scatter diagram of successive returns as in Fi .

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