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Nicole Xiang · 2024年12月31日

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  1. CFA I
  2. Equity

NO.PZ2023040301000102

问题如下：

After the public announcement of the merger of two firms, an investor makes abnormal returns by going long on the target firm and short on the acquiring firm. This most likely violates which form of market efficiency?

选项：

A.

Semi-strong form only

B.

Semi-strong and strong forms

C.

Weak and semi-strong forms

解释：

In a semi-strong efficient market, prices adjust quickly and accurately to new information. In this case, prices would quickly adjust to the merger announcement, and if the market is a semi-strong efficient market, investors acting after the merger announcement would not be able to earn abnormal returns. Therefore, the market is not semi-strong-form efficient. A market that is not semi-strong-form efficient is also not strong-form efficient. Thus, violating the semi-strong-form efficiency also implies violating the strong-form efficiency. However, the market could still be weak-form efficient because past prices are not being used to make abnormal profits. Thus, we cannot say that the weak-form market efficiency has been violated

最近在做这类题目时，不知道如何分析？题中给出了“市场反常行为”问违反了“哪种市场有效性”

就像这道题：给出： 并购时的操作，问违反了哪种市场假说？

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1 个答案

王园圆_品职助教 · 2024年12月31日

同学你好，这类不知道如何分析的题目，同学可以先看三个选项再倒过来读题呢

因为三个选项一看就是考察市场有效性的，然后你再倒过来看题干，就会关注和市场有效相关的内容——譬如寻找投资者是如何通过得到一个消息以后就通过一系列操作获得超额收益的，而不是关注企业合并这件事本身了

既然本质是通过一个消息获得超额收益，说明市场的价格依然没有充分反映当下的市场消息，结合三个有效市场对应的条件（请看以下讲义截图黄色部分），说明这个市场下可以获得超额收益就违背了半强有效市场假说和强有效市场假说。

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