C为什么不对

问题如下：

Finding statistically significant abnormal returns when conducting empirical tests of a trading strategy using time series of returns, a researcher could say that he most likely found:

选项：

A.

a market anomaly.

B.

a good strategy that is able to earn abnormal returns in the future.

C.

evidence to support that the market is inefficient.

解释：

A is correct.

Statistically significant abnormal returns are market anomalies that may be caused by underestimating transaction costs or other expenses associated, and it is not a necessarily indication that the markets are inefficient or that the related strategy is able to produce future abnormal returns.

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（C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（B错）。

因此本题描述的情况就是一种市场异象，因此选A。