Mat 540 Quiz

1) If you believe in the _____ form of the EMH, you believe that stock prices reflect all information that can be derived by examining market trading data such as the history of past stock prices, trading volume or short interest.
2) If you believe in the _____ form of EMH, you believe that stock prices reflect all available information including information that is available only to insiders
3) A common strategy for passive management is
4) Researchers have found that most of the small firm effect sources
5) A market decline of 23% on a day when there is no significant macroeconomic event ____ consists with the EMH because_______
6) A weather report says that a devastating and unexpected freeze is expected to hit Florida tonight during the peak of
You observe that Nicholas had an abnormal return of -1.2% yesterday. This suggests that
8) Tracking error is defined as
9) IF a portfolio manager consistently obtains a high Sharpe ratio measure, the manager’s forecasting ability _____
10) Active portfolio management consists of _____
11) To improve future analyst forecasts using the statistical properties of past forecasts, a regression model can be fitted to past forecasts. The intercept of the regression is a ______ coefficient, and the regression beta represents a
12) Suppose two portfolios have the same average return, the same standard deviation of returns but portfolio A has a lower beta than portfolio B according to the Treynor measure, the performance of portfolio A ______
13) Suppose two portfolios have the same average return, the same standard deviation of returns, but Aggie Fund has a higher beta than Raider Fund. According to the Sharpe measure, the performance of Aggie Fund
14) The Sharpe, Treynor, and Jensen portfolio performance measures are derived from the CAPM,
15) The Jensen portfolio evaluation