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snow666_6 · 2021年06月08日

如何区分市场异象还是用过一个模型得到超额收益?

NO.PZ2015122802000092

问题如下:

If a researcher conducting empirical tests of a trading strategy using time series of returns finds statistically significant abnormal returns, then the researcher has most likely found:

选项:

A.

a market anomaly.

B.

evidence of market inefficiency.

C.

a strategy to produce future abnormal returns.

解释:

A is correct.

Finding significant abnormal returns does not necessarily indicate that markets are inefficient or that abnormal returns can be realized by applying the strategy to future time periods. Abnormal returns are considered market anomalies because they may be the result of the model used to estimate the expected returns or may be the result of underestimating transaction costs or other expenses associated with implementing the strategy, rather than because of market inefficiency.

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(B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(C错)。

因此本题描述的情况就是一种市场异象,因此选A。

老师,在题目中如何确定是通过模型得到超额收益,也就是可以通过价量分析得到超额回报,还是只是这个超额回报是异象,如何区分这种尺度?一般文章中是怎么表述的来判断这个?
1 个答案
已采纳答案

Kiko_品职助教 · 2021年06月08日

嗨,从没放弃的小努力你好:


还是根据题干描述来判断的,例如本题很明确的说了“empirical tests of a trading strategy…statistically significant abnormal returns”,表明一些交易策略在统计上是显著的可获得超额回报。这种由于统计方法的使用所导致的就是明显的市场异象。


而通过价量信息获得超额回报这种一般题目中都会给一些比如price和volume相关的信息或者关键词,或者直接说通过technical analysis获得超额回报。另外这样的回报我们通常不说abnormal return,我们一般都说active return。

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努力的时光都是限量版,加油!

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NO.PZ2015122802000092问题如下If a researcher concting empirictests of a trang strategy using time series of returns fin statistically significant abnormreturns, then the researcher hmost likely founA.a market anomaly.B.evinof market inefficiency.C.a strategy to profuture abnormreturns. is correct.Finng significant abnormreturns es not necessarily incate thmarkets are inefficient or thabnormreturns crealizeapplying the strategy to future time perio. Abnormreturns are consiremarket anomalies because they mthe result of the mol useto estimate the expectereturns or mthe result of unrestimating transaction costs or other expenses associatewith implementing the strategy, rather thbecause of market inefficiency.考点Tests, Implications AnConclusions 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(B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(C错)。因此本题描述的情况就是一种市场异象,因此选怎么理解B?为何B的意思是推翻有效市场假说?

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